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Description
  • We develop a procedure for monitoring changes in the error distribution of autoregressive time series while controlling the overall size of the sequential test. The proposed procedure, unlike standard procedures which are also referred to, utilizes the empirical characteristic function of properly estimated residuals. The limit behavior of the test statistic is investigated under the null hypothesis as well as under alternatives. Since the asymptotic null distribution contains unknown parameters, a bootstrap procedure is proposed in order to actually perform the test and corresponding results on the finite-sample performance of the new method are presented. As it turns out the procedure is not only able to detect distributional changes but also changes in the regression coefficient.
  • We develop a procedure for monitoring changes in the error distribution of autoregressive time series while controlling the overall size of the sequential test. The proposed procedure, unlike standard procedures which are also referred to, utilizes the empirical characteristic function of properly estimated residuals. The limit behavior of the test statistic is investigated under the null hypothesis as well as under alternatives. Since the asymptotic null distribution contains unknown parameters, a bootstrap procedure is proposed in order to actually perform the test and corresponding results on the finite-sample performance of the new method are presented. As it turns out the procedure is not only able to detect distributional changes but also changes in the regression coefficient. (en)
Title
  • Monitoring changes in the error distribution of autoregressive models based on Fourier methods
  • Monitoring changes in the error distribution of autoregressive models based on Fourier methods (en)
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  • Monitoring changes in the error distribution of autoregressive models based on Fourier methods
  • Monitoring changes in the error distribution of autoregressive models based on Fourier methods (en)
skos:notation
  • RIV/00216208:11320/12:10124996!RIV13-GA0-11320___
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
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  • I, P(GA201/09/0755)
http://linked.open...iv/cisloPeriodika
  • 4
http://linked.open...vai/riv/dodaniDat
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  • 151612
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  • RIV/00216208:11320/12:10124996
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  • Empirical characteristic function, Change point analysis; TESTS; BEHAVIOR; PARAMETER; STATIONARY; TIME-SERIES (en)
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http://linked.open...odStatuVydavatele
  • ES - Španělské království
http://linked.open...ontrolniKodProRIV
  • [1B1238BDD735]
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  • TEST
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  • 21
http://linked.open...iv/tvurceVysledku
  • Hušková, Marie
  • Hlávka, Zdeněk
  • Meintanis, Simos G.
  • Kirch, Claudia
http://linked.open...ain/vavai/riv/wos
  • 000309881100001
issn
  • 1133-0686
number of pages
http://bibframe.org/vocab/doi
  • 10.1007/s11749-011-0265-z
http://localhost/t...ganizacniJednotka
  • 11320
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