Monitoring changes in the error distribution of autoregressive models based on Fourier methods

• Zdeněk Hlávka ^[1] ; Marie Hušková ^[1] ; Claudia Kirch ^[2] ; Simos G. Meintanis ^[3]
  1. [1] Charles University in Prague

     Charles University in Prague

     Chequia

     
  2. [2] Karlsruhe Institute of Technology

     Karlsruhe Institute of Technology

     Stadtkreis Karlsruhe, Alemania

     
  3. [3] National and Kapodistrian University of Athens

     National and Kapodistrian University of Athens

     Dimos Athens, Grecia

     

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• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 21, Nº. 4, 2012, págs. 605-634
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • We develop a procedure for monitoring changes in the error distribution of autoregressive time series while controlling the overall size of the sequential test. The proposed procedure, unlike standard procedures which are also referred to, utilizes the empirical characteristic function of properly estimated residuals. The limit behavior of the test statistic is investigated under the null hypothesis as well as under alternatives. Since the asymptotic null distribution contains unknown parameters, a bootstrap procedure is proposed in order to actually perform the test and corresponding results on the finite–sample performance of the new method are presented. As it turns out the procedure is not only able to detect distributional changes but also changes in the regression coefficient.