Monitoring parameter change in time series models

Monitoring parameter change in time series models

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...

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Veröffentlicht in:Statistical methods & applications 2011-06, Vol.20 (2), p.171-199
Hauptverfasser: Na, Okyoung, Lee, Youngmi, Lee, Sangyeol
Format: Artikel
Sprache:eng
Schlagworte:
Autocovariance of linear processes
Chemistry and Earth Sciences
Computer Science
Distributional changes
Economics
Estimates
Finance
GARCH models
Health Sciences
Humanities
Hypotheses
Insurance
Law
Management
Mathematics and Statistics
Medicine
Monitoring parameter change
Physics
Regression analysis
Sensors
Simulation
Statistical methods
Statistical Theory and Methods
Statistics
Statistics for Business
Statistics for Engineering
Statistics for Life Sciences
Statistics for Social Sciences
Stochastic models
Studies
Time series
Time series models
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Beschreibung
Zusammenfassung: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.
ISSN:1618-2510
1613-981X
DOI:10.1007/s10260-011-0162-3