Journal of the Korean Data and Information Science Society
- Volume 17 Issue 4
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- Pages.1397-1403
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- 2006
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- 1598-9402(pISSN)
Simulation Study on the Scale Change Test for Autoregressive Models with Heavy-Tailed Innovations
- Park, Si-Yun (Department of Statistics, Seoul National University) ;
- Lee, Sang-Yeol (Department of Statistics, Seoul National University)
- Published : 2006.11.30
Abstract
This paper considers the testing problem for scale changes in autoregressive processes with heavy-tailed innovations. For a test, we propose the CUSUM test statistic based on the trimmed residuals. We perform a simulation study for the mixture normal and Cauchy innovations.
Keywords
- CUSUM test;
- Heavy-tailed innovations;
- Infinite variance process;
- Normal mixture distribution;
- Scale change