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Asymptotic properties of monitoring procedure for parameter change in heteroscedastic time series models
- Kim, Soo Taek;
- Oh, Hae June
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0초록
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.
키워드
monitoring procedure; parameter change; sequential procedures; location-scale time series; modified residual CUSUM; CHANGE-POINT DETECTION; CUSUM TEST
- 제목
- Asymptotic properties of monitoring procedure for parameter change in heteroscedastic time series models
- 저자
- Kim, Soo Taek; Oh, Hae June
- 발행일
- 2020-08
- 유형
- Article
- 저널명
- 응용통계연구
- 권
- 33
- 호
- 4
- 페이지
- 467 ~ 482