Simulation Study on the Scale Change Test for Autoregressive Models with Heavy-Tailed Innovations

  • Park, Si-Yun (Department of Statistics, Seoul National University) ;
  • Lee, Sang-Yeol (Department of Statistics, Seoul National University)
  • Published : 2006.11.30

Abstract

This paper considers the testing problem for scale changes in autoregressive processes with heavy-tailed innovations. For a test, we propose the CUSUM test statistic based on the trimmed residuals. We perform a simulation study for the mixture normal and Cauchy innovations.