IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v43y2014i17p3733-3750.html
   My bibliography  Save this article

The CUSUM Test for Detecting Structural Changes in Strong Mixing Processes

Author

Listed:
  • F. Azizzadeh
  • S. Rezakhah

Abstract

Strong mixing property holds for a broad class of linear and nonlinear time series models such as Auto-Regressive Moving Average Processes and Generalized Auto-Regressive Conditional Heteroscedasticity Processes models. In this article, we study correlation structure of strong mixing sequences, and some asymptotic properties are presented. We also present a new method for detecting change point in correlation structure of strong mixing sequences, and present a nonparametric sequential analysis for detecting changes named cumulative sum test statistic for this. Asymptotic consistency of this test statistics is shown. This method is applied to simulated data of some linear and nonlinear models and power of the test is evaluated. For linear models, it is shown that this method has a better performance in comparison to Berkes et al. (2009).

Suggested Citation

  • F. Azizzadeh & S. Rezakhah, 2014. "The CUSUM Test for Detecting Structural Changes in Strong Mixing Processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(17), pages 3733-3750, September.
    • Handle: RePEc:taf:lstaxx:v:43:y:2014:i:17:p:3733-3750
    DOI: 10.1080/03610926.2012.700374
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2012.700374
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2012.700374?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lee, Taewook & Baek, Changryong, 2020. "Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:43:y:2014:i:17:p:3733-3750. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.