Monitoring parameter changes for random coefficient autoregressive models |
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| Authors: | Okyoung Na Jiyeon Lee Sangyeol Lee |
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| Institution: | 1. School of Business, Korea University, Seoul, 136-701, Republic of Korea;2. Department of Statistics, Seoul National University, Seoul, 151-742, Republic of Korea |
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| Abstract: | In this paper, we develop a monitoring procedure for an early detection of parameter changes in random coefficient autoregressive models. It is shown that the stopping rule signaling a parameter change satisfies the desired asymptotic property as seen in Lee, Lee, and Na (submitted for publication). Simulation results are provided for illustration. |
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