• 대한수학회지
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• 제52권3호
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• pp.503-522
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• 2015

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.