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The Cusum Test for Parameter Change in Time Series Models

✍ Scribed by Sangyeol Lee; Jeongcheol Ha; Okyoung Na; Seongryong Na


Book ID
108536250
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
183 KB
Volume
30
Category
Article
ISSN
0303-6898

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A robust Cusum test for SETAR-type nonli
✍ Joseph D. Petruccelli; Alina Onofrei; Jayson D. Wilbur πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 116 KB

## Abstract As a part of an effective self‐exciting threshold autoregressive (SETAR) modeling methodology, it is important to identify processes exhibiting SETAR‐type nonlinearity. A number of tests of nonlinearity have been developed in the literature. However, it has recently been shown that all