On the cusum of squares test for variance change in nonstationary and nonparametric time series models
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DOI: 10.1007/BF02517801
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References listed on IDEAS
- Sangyeol Lee & Siyun Park, 2001. "The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(4), pages 625-644, December.
- Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
- Wu, J. S. & Chu, C. K., 1994. "Nonparametric estimation of a regression function with dependent observations," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 149-160, March.
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Cited by:
- Lee, Sangyeol, 2013. "A maximum entropy type test of fit: Composite hypothesis case," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 59-67.
- Na, Okyoung & Lee, Sangyeol, 2007. "Moving estimates test with time varying bandwidth," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1356-1375, August.
- Peña, Daniel & Badagian Baharian, Ana Laura & Kaiser Remiro, Regina, 2013. "The change-point problem and segmentation of processes with conditional heteroskedasticity," DES - Working Papers. Statistics and Econometrics. WS ws131718, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Josephine Njeri Ngure & Anthony Gichuhi Waititu, 2021. "Consistency of an Estimator for Change Point in Volatility of Financial Returns," Journal of Mathematics Research, Canadian Center of Science and Education, vol. 13(1), pages 1-56, February.
- Marco Barassi & Lajos Horváth & Yuqian Zhao, 2020.
"Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 340-349, April.
- Barassi, Marco & Horvath, Lajos & Zhao, Yuqian, 2018. "Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," MPRA Paper 87837, University Library of Munich, Germany.
- Vanessa Berenguer-Rico & Bent Nielsen, 2015. "Cumulated sum of squares statistics for non-linear and non-stationary regressions," Economics Papers 2015-W09, Economics Group, Nuffield College, University of Oxford.
- Chen, Zhanshou & Tian, Zheng, 2010. "Modified procedures for change point monitoring in linear models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 62-75.
- Nhlangwini, Pamela & Mongale, Itumeleng Pleasure, 2019. "Mining Production and Economic Growth Nexus," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(3), pages 103-116.
- Maria Mohr & Natalie Neumeyer, 2021. "Nonparametric volatility change detection," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 529-548, June.
- Koichi Maekawa & Sangyeol & Lee, 2004. "The Cusum Test for Parameter Change in Regression with ARCH Errors," Econometric Society 2004 Far Eastern Meetings 606, Econometric Society.
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Keywords
Cusum of squares test; variance change; autoregressive model with unit roots; nonparametric regression model; strong mixing process; weak convergence; Brownian bridge;All these keywords.
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