한국통계학회:학술대회논문집 (Proceedings of the Korean Statistical Society Conference)
- 한국통계학회 2001년도 추계학술발표회 논문집
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- Pages.185-189
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- 2001
Sequential Test for Parameter Changes in Time Series Models
- Lee Sangyeol (Department of Statistics, Seoul National University) ;
- Ha Jeongcheol (Department of Statistics, Seoul National University)
- Published : 2001.11.01
Abstract
In this paper, we consider the problem of testing for parameter changes in time series models based on a sequential test. Although the test procedure is well-established for the mean and variance change, a general parameter case has not been discussed in the literature. Therefore, we develop a sequential test for parameter changes in a more general framework.