Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Test for Parameter Changes in the AR(1) Process

  • Kim, Soo-Hwa (Samsung Data Systems Co. Ltd., Seoul, 120-020) ;
  • Cho, Sin-Sup (Department of Statistics, Seoul Naitonal University, Seoul, 151-742, Korea. sinsup＠stats.snu.ac.kr) ;
  • Park, Young J. (Department of Statistics, North Carolina State University, Raleigh, USA)
  • Published : 1997.09.01
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Abstract

In this paper the parameter change problem in the stationary time series is considered. We propose a cumulative sum (CUSUM) of squares-type test statistic for detection of parameter changes in the AR(1) process. The proposed test statistic is based on the CUSIM of the squared observations and is shown to converge to a standard Brownian bridge. Simulations are performed to evaluate the performance of the proposed statistic and a real example is provided to illustrate the procedure.

Keywords

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