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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
decision sciences
Monitoring changes in the error distribution of autoregressive models based on Fourier methods
Test, Volume 21, No. 4, Year 2012
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Description
We develop a procedure for monitoring changes in the error distribution of autoregressive time series while controlling the overall size of the sequential test. The proposed procedure, unlike standard procedures which are also referred to, utilizes the empirical characteristic function of properly estimated residuals. The limit behavior of the test statistic is investigated under the null hypothesis as well as under alternatives. Since the asymptotic null distribution contains unknown parameters, a bootstrap procedure is proposed in order to actually perform the test and corresponding results on the finite-sample performance of the new method are presented. As it turns out the procedure is not only able to detect distributional changes but also changes in the regression coefficient. © 2011 Sociedad de Estadística e Investigación Operativa.
Authors & Co-Authors
Hlávka, Zdeněk
Czech Republic, Prague
Charles University
Hušková, Marie
Czech Republic, Prague
Charles University
Kirch, Claudia
Germany, Karlsruhe
Karlsruher Institut Für Technologie
Meintanis, Simos George
Greece, Athens
National and Kapodistrian University of Athens
Statistics
Citations: 25
Authors: 4
Affiliations: 3
Identifiers
Doi:
10.1007/s11749-011-0265-z
ISSN:
11330686