• The Korean Journal of Applied Statistics
• /
• v.33 no.4
• /
• pp.467-482
• /
• 2020

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.