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Asymptotic properties of monitoring procedure for parameter change in heteroscedastic time series models
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kim, Soo Taek | - |
| dc.contributor.author | Oh, Hae June | - |
| dc.date.accessioned | 2022-12-26T12:32:34Z | - |
| dc.date.available | 2022-12-26T12:32:34Z | - |
| dc.date.issued | 2020-08 | - |
| dc.identifier.issn | 1225-066X | - |
| dc.identifier.issn | 2383-5818 | - |
| dc.identifier.uri | https://scholarworks.gnu.ac.kr/handle/sw.gnu/6371 | - |
| dc.description.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. | - |
| dc.format.extent | 16 | - |
| dc.language | 한국어 | - |
| dc.language.iso | KOR | - |
| dc.publisher | KOREAN STATISTICAL SOC | - |
| dc.title | Asymptotic properties of monitoring procedure for parameter change in heteroscedastic time series models | - |
| dc.type | Article | - |
| dc.publisher.location | 대한민국 | - |
| dc.identifier.doi | 10.5351/KJAS.2020.33.4.467 | - |
| dc.identifier.wosid | 000586860500009 | - |
| dc.identifier.bibliographicCitation | KOREAN JOURNAL OF APPLIED STATISTICS, v.33, no.4, pp 467 - 482 | - |
| dc.citation.title | KOREAN JOURNAL OF APPLIED STATISTICS | - |
| dc.citation.volume | 33 | - |
| dc.citation.number | 4 | - |
| dc.citation.startPage | 467 | - |
| dc.citation.endPage | 482 | - |
| dc.type.docType | Article | - |
| dc.identifier.kciid | ART002615902 | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | esci | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.relation.journalResearchArea | Mathematics | - |
| dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
| dc.subject.keywordPlus | CHANGE-POINT DETECTION | - |
| dc.subject.keywordPlus | CUSUM TEST | - |
| dc.subject.keywordAuthor | monitoring procedure | - |
| dc.subject.keywordAuthor | parameter change | - |
| dc.subject.keywordAuthor | sequential procedures | - |
| dc.subject.keywordAuthor | location-scale time series | - |
| dc.subject.keywordAuthor | modified residual CUSUM | - |
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