Monitoring parameter change in time series models. (English) Zbl 1230.62119
Summary: We develop a monitoring procedure for an early detection of parameter changes in time series models. We design the monitoring procedure for general time series models and apply it to the changes for the autocovariances of linear processes, GARCH parameters, and underlying distributions. Simulation results are provided for illustration.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 65C60 | Computational problems in statistics (MSC2010) |
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