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Monitoring parameter change in time series models

✍ Scribed by Okyoung Na; Youngmi Lee; Sangyeol Lee

Book ID: 106302078
Publisher: Springer
Year: 2011
Tongue: English
Weight: 300 KB
Volume: 20
Category: Article
ISSN: 1613-981X
DOI: 10.1007/s10260-011-0162-3

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## Abstract The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation‐type tests in a monitoring situation—given a history period for which a regression relationship is known to be