Monitoring parameter change in time series models

Okyoung Na; Youngmi Lee; Sangyeol Lee

doi:10.1007/s10260-011-0162-3

Monitoring parameter change in time series models

Okyoung Na
, Youngmi Lee
, Sangyeol Lee^*

^*Corresponding author for this work

Department of Statistics

Kyonggi University
Seoul National University

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

35 Scopus citations

Abstract

In this paper,we develop a monitoring procedure for an early detection of parameter changes in time series models. We design the monitoring procedure in general time series models and apply it to the changes for the autocovariances of linear processes, GARCH parameters, and underlying distributions. Simulation results are provided for illustration.

Original language	English
Pages (from-to)	171-199
Number of pages	29
Journal	Statistical Methods and Applications
Volume	20
Issue number	2
DOIs	https://doi.org/10.1007/s10260-011-0162-3
State	Published - 2011.06

Keywords

Autocovariance of linear processes
Distributional changes
GARCH models
Monitoring parameter change
Time series models

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10.1007/s10260-011-0162-3

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@article{e69c8128ee104fc586d139e32fdb7527,

title = "Monitoring parameter change in time series models",

abstract = "In this paper,we develop a monitoring procedure for an early detection of parameter changes in time series models. We design the monitoring procedure in general time series models and apply it to the changes for the autocovariances of linear processes, GARCH parameters, and underlying distributions. Simulation results are provided for illustration.",

keywords = "Autocovariance of linear processes, Distributional changes, GARCH models, Monitoring parameter change, Time series models",

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

year = "2011",

month = jun,

doi = "10.1007/s10260-011-0162-3",

language = "English",

volume = "20",

pages = "171--199",

journal = "Statistical Methods and Applications",

issn = "1618-2510",

number = "2",

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TY - JOUR

T1 - Monitoring parameter change in time series models

AU - Na, Okyoung

AU - Lee, Youngmi

AU - Lee, Sangyeol

PY - 2011/6

Y1 - 2011/6

N2 - In this paper,we develop a monitoring procedure for an early detection of parameter changes in time series models. We design the monitoring procedure in general time series models and apply it to the changes for the autocovariances of linear processes, GARCH parameters, and underlying distributions. Simulation results are provided for illustration.

AB - In this paper,we develop a monitoring procedure for an early detection of parameter changes in time series models. We design the monitoring procedure in general time series models and apply it to the changes for the autocovariances of linear processes, GARCH parameters, and underlying distributions. Simulation results are provided for illustration.

KW - Autocovariance of linear processes

KW - Distributional changes

KW - GARCH models

KW - Monitoring parameter change

KW - Time series models

UR - https://www.scopus.com/pages/publications/79957964003

U2 - 10.1007/s10260-011-0162-3

DO - 10.1007/s10260-011-0162-3

M3 - Journal article

AN - SCOPUS:79957964003

SN - 1618-2510

VL - 20

SP - 171

EP - 199

JO - Statistical Methods and Applications

JF - Statistical Methods and Applications

IS - 2

ER -

Monitoring parameter change in time series models

Abstract

Keywords

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