Fourier Methods for Sequential Change Point Analysis in Autoregressive Models

Marie Hušková (), Claudia Kirch () and Simos G. Meintanis ()
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Marie Hušková: Charles University of Prague, Department of Statistics
Claudia Kirch: Karlsruhe Institute of Technology, Institute for Stochastics
Simos G. Meintanis: National and Kapodistrian University of Athens, Department of Economics

A chapter in Proceedings of COMPSTAT'2010, 2010, pp 501-508 from Springer

Abstract: Abstract We develop a procedure for monitoring changes in the error distribution of autoregressive time series. 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, while computational and other relevant issues are addressed.

Keywords: empirical characteristic function; change point analysis (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2604-3_50

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DOI: 10.1007/978-3-7908-2604-3_50

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