On the detection of changes in autoregressive time series,II. Resampling procedures |
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Authors: | Marie Hušková Claudia Kirch Zuzana Prášková Josef Steinebach |
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Institution: | 1. Department of Statistics, Charles University of Prague, Sokolovská 83, CZ-186 75 Praha 8, Czech Republic;2. Fachbereich Mathematik, Universität Kaiserslautern, Erwin-Schrödinger-Straße, D-67 653 Kaiserslautern, Germany;3. Mathematisches Institut, Universität zu Köln, Weyertal 86-90, D-50 931 Köln, Germany |
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Abstract: | We study an autoregressive time series model with a possible change in the regression parameters. Approximations to the critical values for change-point tests are obtained through various bootstrapping methods. Theoretical results show that the bootstrapping procedures have the same limiting behavior as their asymptotic counterparts discussed in Hušková et al. 2007. On the detection of changes in autoregressive time series, I. Asymptotics. J. Statist. Plann. Inference 137, 1243–1259]. In fact, a small simulation study illustrates that the bootstrap tests behave better than the original asymptotic tests if performance is measured by the α- and β-errors, respectively. |
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Keywords: | Primary 62G09 secondary 60F17 62G20 62M10 |
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