Monitoring Distributional Changes in Autoregressive Models

Sangyeol Lee, Youngmi Lee and Okyoung Na

Communications in Statistics - Theory and Methods, 2009, vol. 38, issue 16-17, 2969-2982

Abstract: In this artilce, we develop a monitoring procedure for an early detection of distributional changes in autoregressive models. We design the monitoring procedure based on residuals since the test based on the observations is inappropriate. We verify that under regularity conditions, the stopping rule designed to detect changes behaves asymptotically the same as that in iid samples. Simulation results are provided for illustration.

Date: 2009
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DOI: 10.1080/03610920902947261

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