Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146135 | Journal of Multivariate Analysis | 2010 | 11 Pages |
Abstract
In this paper, we consider the problem of testing for variance changes in the linear autoregressive processes including AR(pp) processes when there are autoregressive parameter shifts. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampling method introduced by Jach and Kokoszka (2004) [16] to eliminate the influence caused by autoregressive parameter shifts. It is shown that under regularity conditions, the test statistic behaves asymptotically the function of a standard Brownian bridge. We establish the asymptotic validity of this method and assess its performance both theoretically and numerically.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Hao Jin, Jinsuo Zhang,