Testing for parameter constancy in non-Gaussian time series

被引：5

作者：

Han, Lu ^{[1
]}

McCabe, Brendan ^{[1
]}

机构：

[1] Univ Liverpool, Liverpool L69 7ZH, Merseyside, England

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2013年 / 34卷 / 01期

关键词：

Non-Gaussian Time Series; Discrete Valued Count Time Series; sup-Test; CUSUM Test;

D O I：

10.1111/j.1467-9892.2012.00810.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper investigates testing for parameter constancy in models for non-Gaussian time series. Models for discrete valued count time series are investigated as well as more general models with autoregressive conditional expectations. Both sup-tests and CUSUM procedures are suggested depending on the complexity of the model being used. The asymptotic distribution of the CUSUM test is derived for a general class of conditional autoregressive models.

引用

页码：17 / 29

页数：13

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