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Structural Change Monitoring for Random Coefficient Autoregressive Time Series |
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| Authors: | Fuxiao Li Zheng Tian Peiyan Qi |
| Affiliation: | 1. Department of Applied Mathematics, Northwest Polytechnical University, Xi’an, P.R. China;2. Department of Computer Science and Technology, Northwest Polytechnical University, Xi’an, P.R.China;3. State Key Laboratory of Remote Sensing Science, Chinese Academy of Science, Beijing, P.R. China |
| Abstract: | A monitoring scheme is proposed to sequentially detect a structural change in random coefficient autoregressive time series of order p (RCA(p)) after a training period of size T. It extends structural change monitoring to RCA(p) time series. The asymptotic properties of our monitoring statistic are established under both the null of no change in parameters and the alternative of a change in coefficient. The finite sample properties are investigated by a simulation study. |
| Keywords: | Random coefficient autoregressive time series of order p Change point monitoring Boundary function |