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PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS

이상열|이지연
대한수학회 (The Korean Mathematical Society)|2015.05|대한수학회지 (Journal of the KMS)|제52권 제3호|pp. 503-522

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참고문헌

키워드

CUSUM testparameter changeweak convergence to a Brownian bridge
주제분류수학

초록

In this paper, we consider the problem of testing for a param- eter change in nonlinear time series models with GARCH type errors. We introduce two types of cumulative sum (CUSUM) tests: estimates-based and residual-based tests. It is shown that under regularity conditions, their limiting null distributions are the sup of independent Brownian bridges. A simulation study is conducted for illustration.

Abstract

In this paper, we consider the problem of testing for a param- eter change in nonlinear time series models with GARCH type errors. We introduce two types of cumulative sum (CUSUM) tests: estimates-based and residual-based tests. It is shown that under regularity conditions, their limiting null distributions are the sup of independent Brownian bridges. A simulation study is conducted for illustration.

참고문헌 (21)

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