Test for parameter change in stochastic processes based on conditional least-squares estimator

Authors:
Sangyeol Lee;Okyoung Na
Affiliations:
Department of Statistics, Seoul National University, Seoul, 151-742, South Korea;Department of Statistics, Seoul National University, Seoul, 151-742, South Korea
Venue:
Journal of Multivariate Analysis
Year:
2005

Citing 0
Cited 2

Moving estimates test with time varying bandwidth

Journal of Multivariate Analysis
Jump diffusion model with application to the Japanese stock market

Mathematics and Computers in Simulation

Quantified Score

Hi-index	0.00

Visualization

Abstract

In this paper, we consider the problem of testing for a parameter change in stochastic processes. In performing a test, we employ the cusum test considered in Lee et al. (Scand. J. Statist. 30 (2003) 651). The cusum test is based on the conditional least-squares estimator introduced by Klimko and Nelson (Ann. Statist. 6 (1978) 629). Special attention is paid to the nonlinear autoregressive processes including TAR and ARCH processes. It is shown that under regularity conditions, the test statistic behaves asymptotically the same as the sup of the squares of independent standard Brownian bridges. Simulation results as to ARCH(1) processes and an example of real data analysis are provided for illustration.