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http://dx.doi.org/10.5351/KJAS.2020.33.4.467

Asymptotic properties of monitoring procedure for parameter change in heteroscedastic time series models  

Kim, Soo Taek (Department of Information and Statistics, Gyeongsang National University)
Oh, Hae June (Department of Information and Statistics, Gyeongsang National University)
Publication Information
The Korean Journal of Applied Statistics / v.33, no.4, 2020 , pp. 467-482 More about this Journal
Abstract
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.
Keywords
monitoring procedure; parameter change; sequential procedures; location-scale time series; modified residual CUSUM;
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