論文

2020年7月

Monitoring parameter changes in models with a trend

JOURNAL OF STATISTICAL PLANNING AND INFERENCE
  • Peiyun Jiang
  • ,
  • Eiji Kurozumi

207
開始ページ
288
終了ページ
319
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1016/j.jspi.2020.01.004
出版者・発行元
ELSEVIER

We develop a CUSUM-type monitoring procedure based on the ordinary least squares residuals for detecting structural changes in models with a trend. A proper boundary function is designed to control the size. We derive the limiting null distribution and the consistency of the procedure under the alternative. In addition, we derive the asymptotic distribution of the delay time for the CUSUM procedure as well as the fluctuation procedure proposed by Qi et al. (2016). The simulation and empirical results indicate that although neither procedure is uniformly superior to the other, the CUSUM test is more suitable for an early break. (C) 2020 Elsevier B.V. All rights reserved.


リンク情報
DOI
https://doi.org/10.1016/j.jspi.2020.01.004
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000517856000021&DestApp=WOS_CPL
ID情報
  • DOI : 10.1016/j.jspi.2020.01.004
  • ISSN : 0378-3758
  • eISSN : 1873-1171
  • Web of Science ID : WOS:000517856000021

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