The Cusum Test for Parameter Change in Time Series Models

Sangyeol Lee, Jeongcheol Ha, Okyoung Na and Seongryong Na

Scandinavian Journal of Statistics, 2003, vol. 30, issue 4, 781-796

Abstract: Abstract. In this paper, we consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider the change of the parameters in a random coeefficient autoregressive (1) model and that of the autocovariances of a linear process. Simulation results are reported for illustration.

Date: 2003
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