Monitoring changes in the error distribution of autoregressive models based on Fourier methods
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10124996" target="_blank" >RIV/00216208:11320/12:10124996 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s11749-011-0265-z" target="_blank" >http://dx.doi.org/10.1007/s11749-011-0265-z</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11749-011-0265-z" target="_blank" >10.1007/s11749-011-0265-z</a>
Alternative languages
Result language
angličtina
Original language name
Monitoring changes in the error distribution of autoregressive models based on Fourier methods
Original language 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 changesin the regression coefficient.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA201%2F09%2F0755" target="_blank" >GA201/09/0755: Modelling nonhomogeneous time series</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
TEST
ISSN
1133-0686
e-ISSN
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Volume of the periodical
21
Issue of the periodical within the volume
4
Country of publishing house
ES - SPAIN
Number of pages
30
Pages from-to
605-634
UT code for WoS article
000309881100001
EID of the result in the Scopus database
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