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Monitoring procedure for parameter change in causal time series
Sequential change detection Change-point Causal processes Quasi-maximum likelihood estimator Weak convergence.
2012/11/22
We propose a new sequential procedure to detect change in the parameters of a process $ X= (X_t)_{t\in \Z}$ belonging to a large class of causal models (such as AR($\infty$), ARCH($\infty$), TARCH($\i...
We consider the testing and estimation of change-points -- locations where the distribution abruptly changes -- in a data sequence. A new approach, based on scan statistics utilizing graphs representi...