Test for Parameter Change in ARIMA Models

• Lee, Sangyeol

• Park, Siyun

• Maekawa, Koichi

• Kawai, Ken-ichi

抄録

In this paper we consider the problem of testing for parameter changes in ARIMA models based on the cusum test. The proposed test procedure is applicable to testing for the change from stationary models to nonstationary models, and vice versa. The idea is to transform the time series via differencing to make the whole time series as a combination of stationary subseries. For this task, we propose a graphical method to identify the right order of differencing. Then the cusum test statistic proposed by Lee et al. (2003) is constructed based the differenced time series. Simulation study and real data analysis are provided for illustration.

収録刊行物

• Communications in Statistics : Simulation and Computation

  Communications in Statistics : Simulation and Computation 35 (2), 429-439, 2006-04

  Taylor & Francis

キーワード

• Test for parameter changes
• cusum test
• ARIMA model
• graphical method
• autocovariance function
• and Brownian bridge

詳細情報

• CRID: 1050014791011038976
• NII論文ID: 120000878141
• NII書誌ID: AA10512671
• Web Site: http://ir.lib.hiroshima-u.ac.jp/00017213
• 本文言語コード: en
• 資料種別: journal article
• データソース種別:
  • IRDB
  • CiNii Articles
  • KAKEN