Test for Parameter Change in ARIMA Models
Communications in Statistics : Simulation and Computation Volume 35 Issue 2
Page 429-439
published_at 2006-04
アクセス数 : 625 件
ダウンロード数 : 327 件
今月のアクセス数 : 7 件
今月のダウンロード数 : 4 件
この文献の参照には次のURLをご利用ください : https://ir.lib.hiroshima-u.ac.jp/00017213
| File | |
| Title ( eng ) |
Test for Parameter Change in ARIMA Models
|
| Creator |
Lee Sangyeol
Park Siyun
Kawai Ken-ichi
|
| Source Title |
Communications in Statistics : Simulation and Computation
|
| Volume | 35 |
| Issue | 2 |
| Start Page | 429 |
| End Page | 439 |
| Abstract |
In this paper we consider the problem of testing for parameter changes in ARIMA models based on the cusum test. The proposed test procedure is applicable to testing for the change from stationary models to nonstationary models, and vice versa. The idea is to transform the time series via differencing to make the whole time series as a combination of stationary subseries. For this task, we propose a graphical method to identify the right order of differencing. Then the cusum test statistic proposed by Lee et al. (2003) is constructed based the differenced time series. Simulation study and real data analysis are provided for illustration.
|
| Keywords |
Test for parameter changes
cusum test
ARIMA model
graphical method
autocovariance function
and Brownian bridge
|
| NDC |
Economics [ 330 ]
|
| Language |
eng
|
| Resource Type | journal article |
| Publisher |
Taylor & Francis
|
| Date of Issued | 2006-04 |
| Rights |
Copyright (c) 2006 Taylor & Francis. This is an electronic version of an article published in "Communications in Statistics Vol.35 No.2 pp.429-439" Communications in Statistics is available at: http://dx.doi.org/10.1080/03610910600591537
|
| Publish Type | Author’s Original |
| Access Rights | open access |
| Source Identifier |
[ISSN] 0361-0918
[DOI] 10.1080/03610910600591537
[NCID] AA10512671
[DOI] http://dx.doi.org/10.1080/03610910600591537
|
