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http://dx.doi.org/10.4134/JKMS.2015.52.3.503

PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS  

Lee, Jiyeon (Department of Statistics Seoul National University)
Lee, Sangyeol (Department of Statistics Seoul National University)
Publication Information
Journal of the Korean Mathematical Society / v.52, no.3, 2015 , pp. 503-522 More about this Journal
Abstract
In this paper, we consider the problem of testing for a parameter change in nonlinear time series models with GARCH type errors. We introduce two types of cumulative sum (CUSUM) tests: estimates-based and residual-based tests. It is shown that under regularity conditions, their limiting null distributions are the sup of independent Brownian bridges. A simulation study is conducted for illustration.
Keywords
nonlinear time series models with GARCH type errors; parameter change; CUSUM test; weak convergence to a Brownian bridge;
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