Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2005.11a
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- Pages.43-48
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- 2005
The Change Point Analysis in Time Series Models
Abstract
We consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well-established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider the change of the parameters in an RCA(1) model and that of the autocovariances of a linear process. We also consider the variance change test for unstable models with unit roots and GARCH models.
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