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Test for Parameter Change in ARIMA Models |
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| Authors: | Sangyeol Lee Siyun Park Ken-Ichi Kawai |
| Affiliation: | 1. Department of Statistics , Seoul National University , Seoul , Korea;2. Department of Statistics and Acturial Science , University of Iowa , Iowa City , Iowa , USA;3. Graduate School of Social Sciences , Hiroshima University , Hiroshima , Japan |
| Abstract: | |
| Keywords: | ARIMA model Autocovariance function Brownian bridge CUSUM test Graphical method Test for parameter changes |