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Sequential change-point detection in time series models with conditional heteroscedasticity
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Lee, Youngmi | - |
| dc.contributor.author | Kim, Sungdon | - |
| dc.contributor.author | Oh, Haejune | - |
| dc.date.accessioned | 2024-02-20T08:30:12Z | - |
| dc.date.available | 2024-02-20T08:30:12Z | - |
| dc.date.issued | 2024-03 | - |
| dc.identifier.issn | 0165-1765 | - |
| dc.identifier.issn | 1873-7374 | - |
| dc.identifier.uri | https://scholarworks.gnu.ac.kr/handle/sw.gnu/69669 | - |
| dc.description.abstract | In this study, we investigate a sequential procedure for the early detection of parameter changes in conditionally heteroscedastic time series models. We introduce the detectors based on the cumulative sum of score vectors and residuals for this procedure. The asymptotic properties of the monitoring procedures are established under the null and alternative hypotheses. Simulation results are provided for illustration. © 2024 Elsevier B.V. | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | Elsevier BV | - |
| dc.title | Sequential change-point detection in time series models with conditional heteroscedasticity | - |
| dc.type | Article | - |
| dc.publisher.location | 스위스 | - |
| dc.identifier.doi | 10.1016/j.econlet.2024.111597 | - |
| dc.identifier.scopusid | 2-s2.0-85184614784 | - |
| dc.identifier.wosid | 001183493400001 | - |
| dc.identifier.bibliographicCitation | Economics Letters, v.236 | - |
| dc.citation.title | Economics Letters | - |
| dc.citation.volume | 236 | - |
| dc.type.docType | Article | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | ssci | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Business & Economics | - |
| dc.relation.journalWebOfScienceCategory | Economics | - |
| dc.subject.keywordAuthor | Asymmetric GARCH | - |
| dc.subject.keywordAuthor | Conditionally heteroscedastic time series | - |
| dc.subject.keywordAuthor | GARCH-type models | - |
| dc.subject.keywordAuthor | Parameter change | - |
| dc.subject.keywordAuthor | Sequential detection | - |
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