A note on approximating distribution functions of cusum and cusumsq tests

Habibi Reza ()
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Habibi Reza: Department of Statistics, Central Bank of Iran, Ferdowsi Ave., Postal Code: 1135931496, Tehran, Iran.

Monte Carlo Methods and Applications, 2011, vol. 17, issue 1, 1-10

Abstract: In this note, we are concerned with approximating the distribution functions of cumulative sum (cusum) and cumulative sum of square (cusumsq) test statistics using the Hansen's (Journal of Business & Economic Statistics 15: 60–67, 1997) method. The coefficients of Hansen's polynomial are estimated by least square method. Error analysis shows that approximations are accurate. We first assume that the data are independent with common normal distribution. Then extensions to non-normal and dependent observations are considered. A conclusion section is also given.

Keywords: Change point; chi-square distribution; cusum; cusumsq; leading distribution function; autoregressive model; Hansen polynomials; least square (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1515/mcma.2011.005

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