Journal article 911 views
Monitoring the parameter changes in general ARIMA time series models
Yuzhi Cai 
,
Neville Davies
,
Neville Davies
Journal of Applied Statistics, Volume: 30
Swansea University Author:
Yuzhi Cai
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...
| Published in: | Journal of Applied Statistics |
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| Published: |
2003
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| 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. |
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| Keywords: |
ARIMA, autoregressive fractionally integrated moving average; time series; CUSCORE; changes of parameters; simulation. |
| College: |
Faculty of Humanities and Social Sciences |
| End Page: |
1001 |