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Monitoring the parameter changes in general ARIMA time series models / Yuzhi Cai

Journal of Applied Statistics, Volume: 30

Swansea University Author: Cai, Yuzhi

Abstract

We propose methods for monitoring theresiduals of a fitted ARIMA or an autoregressive fractionallyintegrated movingaverage ($ARFIMA$) model in order to detect changes of the parametersin that model. We extend the procedures of Box \& Ramirez (1992) andRamirez(1992) and allow the differencing par...

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Published in: Journal of Applied Statistics
Published: 2003
URI: https://cronfa.swan.ac.uk/Record/cronfa15299
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Abstract: We propose methods for monitoring theresiduals of a fitted ARIMA or an autoregressive fractionallyintegrated movingaverage ($ARFIMA$) model in order to detect changes of the parametersin that model. We extend the procedures of Box \& Ramirez (1992) andRamirez(1992) and allow the differencing parameter, $d$ to be fractional or integer. Test statistics are approximated by Wiener processes. We carry out simulations and also apply our method to several real time series. The results show that our method is effective for monitoring all parameters in $ARFIMA$ models.
Keywords: ARIMA, autoregressive fractionally integrated moving average; time series; CUSCORE; changes of parameters; simulation.
College: School of Management
End Page: 1001