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Asymptotic properties of monitoring procedure for parameter change in heteroscedastic time series models
- Authors
- Kim, Soo Taek; Oh, Hae June
- Issue Date
- Aug-2020
- Publisher
- KOREAN STATISTICAL SOC
- Keywords
- monitoring procedure; parameter change; sequential procedures; location-scale time series; modified residual CUSUM
- Citation
- KOREAN JOURNAL OF APPLIED STATISTICS, v.33, no.4, pp 467 - 482
- Pages
- 16
- Indexed
- ESCI
KCI
- Journal Title
- KOREAN JOURNAL OF APPLIED STATISTICS
- Volume
- 33
- Number
- 4
- Start Page
- 467
- End Page
- 482
- ISSN
- 1225-066X
2383-5818
- Abstract
- We investigate a monitoring procedure for the early detection of parameter changes in location-scale time series models. We introduce a detector for monitoring procedure based on modified residual cumulative sum (CUSUM). The asymptotic properties of the monitoring procedure are established under the null and alternative hypotheses. Simulation results and data analysis are also provided for illustration.
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