کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1152856 1489898 2010 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Monitoring change in persistence in linear time series
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Monitoring change in persistence in linear time series
چکیده انگلیسی

A moving ratio monitoring scheme is proposed to detect changes between trend stationary (I(0)I(0)) and difference stationary (I(1)I(1)) regimes. It is consistent both for I(1)I(1) to I(0)I(0) and I(0)I(0) to I(1)I(1) change, and has less computation time. The empirical size, power and average run length of the test are evaluated in a simulation study. Simulations indicate that the new method achieves a far superior finite sample performance as compared with the existing variance ratio monitoring procedure in the literature. A modified version is also considered under I(0)I(0) null hypothesis in the presence of a variance shift. In addition, we apply the procedure to investigate the US inflation rate data and show how it is used to detect multiple changes in persistence.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 80, Issues 19–20, 1–15 October 2010, Pages 1520–1527
نویسندگان
, , ,