The Cusum Test for Parameter Change in Time Series Models
本文针对时间序列模型中的参数变化问题，提出了一种基于Cusum检验的通用方法，并以随机系数自回归模型和线性过程的自协方差变化为例进行模拟验证。
Abstract. In this paper, we consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider the change of the parameters in a random coeefficient autoregressive (1) model and that of the autocovariances of a linear process. Simulation results are reported for illustration.