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Modified residual CUSUM test for location-scale time series models with heteroscedasticity · Study

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ArticleModified residual CUSUM test for location-scale time series models with heteroscedasticity

Haejune Oh2018

Article2018

Modified residual CUSUM test for location-scale time series models with heteroscedasticity

Haejune Oh · Sangyeol Lee

40 citations·0/0 files stored·Annals of the Institute of Statistical Mathematics

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Advanced Statistical Process Monitoring Statistical Distribution Estimation and Applications Advanced Statistical Methods and Models

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References

1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 1955A Test for a Change in a Parameter Occurring at an Unknown Point 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes 2006Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach 2003The Cusum Test for Parameter Change in Time Series Models 2007Change detection in autoregressive time series 2014Parameter Change Test for Poisson Autoregressive Models 2012Changepoints in times series of counts

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2018CUSUM test for general nonlinear integer-valued GARCH models: comparison study 2021Recent progress in parameter change test for integer-valued time series models 2024A self-supervised contrastive change point detection method for industrial time series

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2021Recent progress in parameter change test for integer-valued time series modelsarticle · 7 shared references 2018CUSUM test for general nonlinear integer-valued GARCH models: comparison studyarticle · 4 shared references 2008Testing for changes in the covariance structure of linear processesarticle · 3 shared references 2014Parameter Change Test for Poisson Autoregressive Modelsarticle · 3 shared references 2004The Cusum Test for Parameter Change in Regression Models with ARCH Errorsarticle · 3 shared references 2014ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELSarticle · 3 shared references

Details

Year2018

Typearticle

Published2018-07-22

VenueAnnals of the Institute of Statistical Mathematics

ISSN-L0020-3157

Languageen

Citations40

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1007/s10463-018-0679-4

openalex_workW2883198614

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