한국통계학회:학술대회논문집 (Proceedings of the Korean Statistical Society Conference)
- 한국통계학회 2002년도 추계 학술발표회 논문집
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- Pages.279-285
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- 2002
Test for Structural Change in ARIMA Models
- Lee, Sang-Yeol (Dep. of Statistics, Seoul National University) ;
- Park, Si-Yun (Customer Information Analysis Team, SK Corporation)
- 발행 : 2002.11.01
초록
In this paper we consider the problem of testing for structural changes in ARIMA models based on a cusum test. In particular, the proposed test procedure is applicable to testing for a change of the status of time series from stationarity to nonstationarity or vice versa. The idea is to transform the time series via differencing to make stationary time series. We propose a graphical method to identify the correct order of differencing.