Monitoring parameter change in time series models |
| |
| Authors: | Okyoung Na Youngmi Lee Sangyeol Lee |
| |
| Affiliation: | 1.Department of Applied Information Statistics,Kyounggi University,Suwon,Korea;2.Department of Statistics,Seoul National University,Seoul,Korea |
| |
| Abstract: | In this paper, we develop a monitoring procedure for an early detection of parameter changes in time series models. We design the monitoring procedure in general time series models and apply it to the changes for the autocovariances of linear processes, GARCH parameters, and underlying distributions. Simulation results are provided for illustration. |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
