کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7546079 1489621 2018 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On change point test for ARMA-GARCH models: Bootstrap approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
On change point test for ARMA-GARCH models: Bootstrap approach
چکیده انگلیسی
The problem of testing for a parameter change has been a core issue in time series analysis. It is well known that the estimates-based CUSUM test often suffers from severe size distortions in general GARCH type models. The residual-based CUSUM test has been used as an alternative, which, however, has a defect not to detect the ARMA parameter changes in ARMA-GARCH models. As a remedy, one can employ the score vector-based CUSUM test in ARMA-GARCH models as in Oh and Lee (0000). However, it shows some size distortions for relatively small samples. Hence, we consider the bootstrap counterpart for obtaining a more stable test. Focus is made on the verification of the weak consistency of the proposed test. An empirical study is illustrated for its evaluation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Korean Statistical Society - Volume 47, Issue 2, June 2018, Pages 139-149
نویسندگان
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