Monitoring distributional changes in autoregressive models

Sangyeol Lee; Youngmi Lee; Okyoung Na

doi:10.1080/03610920902947261

Monitoring distributional changes in autoregressive models

Sangyeol Lee^*
, Youngmi Lee
, Okyoung Na

^*Corresponding author for this work

Department of Statistics

Seoul National University

Research output: Contribution to journal › Journal article › peer-review

12 Scopus citations

Abstract

In this artilce, we develop a monitoring procedure for an early detection of distributional changes in autoregressive models. We design the monitoring procedure based on residuals since the test based on the observations is inappropriate. We verify that under regularity conditions, the stopping rule designed to detect changes behaves asymptotically the same as that in iid samples. Simulation results are provided for illustration.

Original language	English
Pages (from-to)	2969-2982
Number of pages	14
Journal	Communications in Statistics - Theory and Methods
Volume	38
Issue number	16-17
DOIs	https://doi.org/10.1080/03610920902947261
State	Published - 2009.01

Keywords

Autoregressive models
Distributional changes
Monitoring parameter changes
Residual-based sequential empirical process
Strong approximation

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10.1080/03610920902947261

Cite this

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title = "Monitoring distributional changes in autoregressive models",

abstract = "In this artilce, we develop a monitoring procedure for an early detection of distributional changes in autoregressive models. We design the monitoring procedure based on residuals since the test based on the observations is inappropriate. We verify that under regularity conditions, the stopping rule designed to detect changes behaves asymptotically the same as that in iid samples. Simulation results are provided for illustration.",

keywords = "Autoregressive models, Distributional changes, Monitoring parameter changes, Residual-based sequential empirical process, Strong approximation",

author = "Sangyeol Lee and Youngmi Lee and Okyoung Na",

year = "2009",

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TY - JOUR

T1 - Monitoring distributional changes in autoregressive models

AU - Lee, Sangyeol

AU - Lee, Youngmi

AU - Na, Okyoung

PY - 2009/1

Y1 - 2009/1

N2 - In this artilce, we develop a monitoring procedure for an early detection of distributional changes in autoregressive models. We design the monitoring procedure based on residuals since the test based on the observations is inappropriate. We verify that under regularity conditions, the stopping rule designed to detect changes behaves asymptotically the same as that in iid samples. Simulation results are provided for illustration.

AB - In this artilce, we develop a monitoring procedure for an early detection of distributional changes in autoregressive models. We design the monitoring procedure based on residuals since the test based on the observations is inappropriate. We verify that under regularity conditions, the stopping rule designed to detect changes behaves asymptotically the same as that in iid samples. Simulation results are provided for illustration.

KW - Autoregressive models

KW - Distributional changes

KW - Monitoring parameter changes

KW - Residual-based sequential empirical process

KW - Strong approximation

UR - https://www.scopus.com/pages/publications/70249127247

U2 - 10.1080/03610920902947261

DO - 10.1080/03610920902947261

M3 - Journal article

AN - SCOPUS:70249127247

SN - 0361-0926

VL - 38

SP - 2969

EP - 2982

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 16-17

ER -

Monitoring distributional changes in autoregressive models

Abstract

Keywords

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