Monitoring parameter changes in RCA(p) models

A fluctuation monitoring procedure is proposed to detect parameter changes in random coefficient autoregressive models of order p (RCA(p)). It extends parameter change monitoring to RCA(p) models. The asymptotic properties of our test statistic are derived under both the null of no change in parameters and the alternative of changes in parameters. The finite sample properties are investigated by a simulation study. Finally, we apply the statistic to a group of financial data. Simulation and empirical application demonstrate the effectiveness of the proposed statistic.