Test for parameter change in ARIMA models

Communications in Statistics: Simulation and Computation

Volumn 35, Issue 2, 2006, Pages 429-439

  Lee, Sangyeol ^a   Park, Siyun ^b   Maekawa, Koichi ^c   Kawai, Ken Ichi ^c  

^a Seoul National University   (South Korea)

^b UNIVERSITY OF IOWA   (United States)

^c HIROSHIMA UNIVERSITY   (Japan)

Author keywords

ARIMA model; Autocovariance function; Brownian bridge; CUSUM test; Graphical method; Test for parameter changes

Indexed keywords

EID: 33645635751     PISSN: 03610918     EISSN: 15324141     Source Type: Journal    
DOI: 10.1080/03610910600591537     Document Type: Article

References (14)