Extreme Value Distribution of a Recursive–type Detector in a Linear Model
نویسنده
چکیده
We study a CUSUM–type monitoring scheme designed to sequentially detect changes in the regression parameter of an underlying linear model. The test statistic used is based on recursive residuals. Main aim of this paper is to derive the limiting extreme value distribution under the null hypothesis of structural stability. The model assumptions are flexible enough to include very general classes of error sequences such as augmented GARCH(1,1) processes. The result is underlined by an illustrative simulation study. AMS 2000 Subject Classification: Primary 62J05; Secondary 62L10
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تاریخ انتشار 2006