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Sequential change-point detection in time series models with conditional heteroscedasticity
- Lee, Youngmi;
- Kim, Sungdon;
- Oh, Haejune
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1초록
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.
키워드
Asymmetric GARCH; Conditionally heteroscedastic time series; GARCH-type models; Parameter change; Sequential detection
- 제목
- Sequential change-point detection in time series models with conditional heteroscedasticity
- 저자
- Lee, Youngmi; Kim, Sungdon; Oh, Haejune
- 발행일
- 2024-03
- 유형
- Article
- 권
- 236