E-viri
Recenzirano
-
LEE, Sangyeol; NA, Okyoung; NA, Seongryong
Annals of the Institute of Statistical Mathematics, 09/2003, Letnik: 55, Številka: 3Journal Article
In this paper we consider the problem of testing for a variance change in nonstationary and nonparametric time series models. The models under consideration are the unstable AR(q) model and the fixed design nonparametric regression model with a strong mixing error process. In order to perform a test, we employ the cusum of squares test introduced by Inclan and Tiao (1994, J. Amer. Statist. Assoc.,89,913-923). It is shown that the limiting distribution of the test statistic is the sup of a standard Brownian bridge as seen in iid random samples. Simulation results are provided for illustration. PUBLICATION ABSTRACT
