Autori
Haejune, Ho
Sangyeol, Lee

Titolo
On score vector- and residual-based CUSUM tests in ARMA–GARCH models
Periodico
Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2018 - Volume: 27 - Fascicolo: 3 - Pagina iniziale: 385 - Pagina finale: 406

In this study, we consider the problem of testing for a parameter change in ARMA–GARCH models. We suggest two types of cumulative sum (CUSUM) tests, namely, score vector- and residual-based CUSUM tests. It is shown that under regularity conditions, their limiting null distributions are the sup of Brownian bridges. A simulation study and real data analysis are conducted for illustration.



SICI: 1618-2510(2018)27:3<385:OSVARC>2.0.ZU;2-X

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