Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Moving Estimates Test for Jumps in Time Series Models

  • Na, O-Kyoung (Department of Statistics, Seoul National University) ;
  • Lee, Seon-Joo (Department of Statistics, Seoul National University) ;
  • Lee, Sang-Yeol (Department of Statistics, Seoul National University) ;
  • Choi, In-Bong (Department of Statistics, Wonkwang University)
  • Published : 2006.08.31
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Abstract

In this paper, we consider the problem of testing for a change of the parameter function ${\theta}(t)$ that may have a discontinuity at some unknown point ${\tau}$. We introduce a varying-h moving estimate to test the null hypothesis that ${\theta}(t)$ is continuous against the alternative that ${\theta}({\tau}-){\neq}{\theta}({\tau}+)$. Simulation results are provided for illustration.

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References

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