Article ID Journal Published Year Pages File Type
1144770 Journal of the Korean Statistical Society 2013 10 Pages PDF
Abstract
This paper considers, for the first time, sequential monitoring against a change from I(1) to I(0) in a heavy-tailed sequence with polynomial trends. To detect the persistent change quickly and powerfully, a moving kernel-weighted variance ratio statistic is proposed, which is based on the sequentially updated residual process. The null distribution of the monitoring statistic and its consistency under the alternative hypothesis are proved. Simulations indicate that our procedure can achieve a good performance on a finite sample for both early change and late change. The effectiveness of the proposed procedures is well demonstrated by two sets of financial series.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
, , , ,