Chinese Quarterly Journal of Mathematics ›› 2011, Vol. 26 ›› Issue (1): 120-124.

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Tests for Parameter Changes in Time Series 

  

  1. 1. School of Science, Xi'an University of Science and Technology2. Mining Engineering Post-doctoral, Xi'an University of Science and Technology
  • Received:2007-05-31 Online:2011-03-30 Published:2023-05-12
  • About author:JIN Hao(1980- ), male, native of Changsha, Hunan, a lecturer of Xi’an University of Science and Technology, Ph.D., engages in nonlinear time series analysis; YANG Yun-feng(1978- ), male, native of Xianyang, Shaanxi, a lecturer of Xi’an University of Science and Technology, engages in nonlinear time seri es analysis.
  • Supported by:
    Supported by NSFC(70783094); Supported by XUST(2010039);

Abstract: The paper considers the problem of testing for a change point in the parameters of AR(p) models. It is shown that the asymptotically limiting distribution of the residual CUSUM of squares test(RCUSQ) is still the sup of a standard Brownian bridge under null hypothesis. We also show via simulations that our asymptotic results provide good approximations in finite samples.

Key words: change point, Brownian bridge, RCUSQ test

CLC Number: