Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)

The Korean Statistical Society (한국통계학회)
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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
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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.

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