Monitoring parameter changes for random coefficient autoregressive models

作者：Na Okyoung; Lee Jiyeon; Lee Sangyeol^*

来源：Journal of the Korean Statistical Society, 2010, 39(3): 281-288.

DOI：10.1016/j.jkss.2010.03.006

• Monitoring parameter changes
• RCA models
• Time series

In this paper, we develop a monitoring procedure for an early detection of parameter changes in random coefficient autoregressive models. It is shown that the stopping rule signaling a parameter change satisfies the desired asymptotic property as seen in Lee, Lee, and Na (submitted for publication). Simulation results are provided for illustration.

• 出版日期2010-9