Monitoring parameter change for time series models with conditional heteroscedasticity

Economics Letters ◽

10.1016/j.econlet.2017.01.003 ◽

2017 ◽

Vol 152 ◽

pp. 66-70 ◽

Author(s):

Jaewon Huh ◽

Haejune Oh ◽

Sangyeol Lee

Keyword(s):

Time Series ◽

Time Series Models ◽

Parameter Change ◽

Conditional Heteroscedasticity ◽

Monitoring Parameter

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Monitoring parameter change in AR(p) time series models

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2008.08.005 ◽

2009 ◽

Vol 100 (4) ◽

pp. 715-725 ◽

Author(s):

Edit Gombay ◽

Daniel Serban

Keyword(s):

Time Series ◽

Time Series Models ◽

Parameter Change ◽

Monitoring Parameter

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Monitoring parameter change in time series models

Statistical Methods & Applications ◽

10.1007/s10260-011-0162-3 ◽

2011 ◽

Vol 20 (2) ◽

pp. 171-199 ◽

Author(s):

Okyoung Na ◽

Youngmi Lee ◽

Sangyeol Lee

Keyword(s):

Time Series ◽

Time Series Models ◽

Parameter Change ◽

Monitoring Parameter

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Recent progress in parameter change test for integer-valued time series models

Journal of the Korean Statistical Society ◽

10.1007/s42952-020-00102-4 ◽

2021 ◽

Author(s):

Sangyeol Lee ◽

Byungsoo Kim

Keyword(s):

Time Series ◽

Recent Progress ◽

Time Series Models ◽

Parameter Change ◽

Parameter Change Test

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A Recursive Algorithm for Adaptive Estimation and Parameter Change Detection of Time Series Models

Journal of the Operational Research Society ◽

10.2307/2582287 ◽

1986 ◽

Vol 37 (10) ◽

pp. 987

Author(s):

Tep Sastri

Keyword(s):

Time Series ◽

Change Detection ◽

Adaptive Estimation ◽

Recursive Algorithm ◽

Time Series Models ◽

Parameter Change

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A Recursive Algorithm for Adaptive Estimation and Parameter Change Detection of Time Series Models

Journal of the Operational Research Society ◽

10.1057/jors.1986.168 ◽

1986 ◽

Vol 37 (10) ◽

pp. 987-999 ◽

Author(s):

Tep Sastri

Keyword(s):

Time Series ◽

Change Detection ◽

Adaptive Estimation ◽

Recursive Algorithm ◽

Time Series Models ◽

Parameter Change

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Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach

10.1093/biomet/92.3.691 ◽

2005 ◽

Vol 92 (3) ◽

pp. 691-701 ◽

Author(s):

Guodong Li ◽

Wai Keung Li

Keyword(s):

Time Series ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Conditional Heteroscedasticity ◽

Diagnostic Checking

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Hybrid quantile regression estimation for time series models with conditional heteroscedasticity

Journal of the Royal Statistical Society Series B (Statistical Methodology) ◽

10.1111/rssb.12277 ◽

2018 ◽

Vol 80 (5) ◽

pp. 975-993 ◽

Author(s):

Yao Zheng ◽

Qianqian Zhu ◽

Guodong Li ◽

Zhijie Xiao

Keyword(s):

Time Series ◽

Quantile Regression ◽

Time Series Models ◽

Regression Estimation ◽

Conditional Heteroscedasticity

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On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

Journal of the American Statistical Association ◽

10.1080/01621459.1997.10474076 ◽

1997 ◽

Vol 92 (439) ◽

pp. 1184-1194 ◽

Author(s):

Shiqing Ling ◽

W. K. Li

Keyword(s):

Time Series ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Conditional Heteroscedasticity

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On robust testing for conditional heteroscedasticity in time series models

Computational Statistics & Data Analysis ◽

10.1016/s0167-9473(03)00173-7 ◽

2004 ◽

Vol 46 (2) ◽

pp. 227-256 ◽

Author(s):

Pierre Duchesne

Keyword(s):

Time Series ◽

Time Series Models ◽

Conditional Heteroscedasticity ◽

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PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS

Journal of the Korean Mathematical Society ◽

10.4134/jkms.2015.52.3.503 ◽

2015 ◽

Vol 52 (3) ◽

pp. 503-522 ◽

Author(s):

Jiyeon Lee ◽

Sangyeol Lee

Keyword(s):

Time Series ◽

Nonlinear Time Series ◽

Time Series Models ◽

Parameter Change ◽

Parameter Change Test

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