Fremdt, Stefan (2015). Page's sequential procedure for change-point detection in time series regression. Statistics, 49 (1). S. 128 - 156. ABINGDON: TAYLOR & FRANCIS LTD. ISSN 1029-4910
Full text not available from this repository.Abstract
In a variety of different settings cumulative sum (CUSUM) procedures have been applied for the sequential detection of structural breaks in the parameters of stochastic models. Yet their performance depends strongly on the time of change and is best under early change scenarios. For later changes their finite sample behavior is rather questionable. We therefore propose modified CUSUM procedures for the detection of abrupt changes in the regression parameter of multiple time series regression models, that show a higher stability with respect to the time of change than ordinary CUSUM procedures. The asymptotic distributions of the test statistics and the consistency of the procedures are provided. In a simulation study it is shown that the proposed procedures behave well in finite samples. Finally the procedures are applied to a set of capital asset pricing data related to the Fama-French extension of the CAPM.
Item Type: | Journal Article | ||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-414834 | ||||||||
DOI: | 10.1080/02331888.2013.870568 | ||||||||
Journal or Publication Title: | Statistics | ||||||||
Volume: | 49 | ||||||||
Number: | 1 | ||||||||
Page Range: | S. 128 - 156 | ||||||||
Date: | 2015 | ||||||||
Publisher: | TAYLOR & FRANCIS LTD | ||||||||
Place of Publication: | ABINGDON | ||||||||
ISSN: | 1029-4910 | ||||||||
Language: | English | ||||||||
Faculty: | Unspecified | ||||||||
Divisions: | Unspecified | ||||||||
Subjects: | no entry | ||||||||
Uncontrolled Keywords: |
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URI: | http://kups.ub.uni-koeln.de/id/eprint/41483 |
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