| Modified Testing for Structural Changes in Autoregressive Processes |
| Received:March 23, 2009 Revised:May 28, 2010 |
| Key Words:
subsampling RCUSQ test Brownian bridge structural changes.
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| Fund Project:Supported by the National Natural Science Foundation of China (Grant Nos.70873094; 08&ZD046; 10926197; 2010039). |
| Author Name | Affiliation | | Hao JIN | School of Science, Xi'an University of Science and Technology, Shaanxi 710054, P. R. China
Department of Applied Mathematics, Northwestern Polytechnical University, Shaanxi 710072, P. R. China | | Zheng TIAN | Department of Applied Mathematics, Northwestern Polytechnical University, Shaanxi 710072, P. R. China
State Key Laboratory of Remote Sensing Science, Chinese Academy of Sciences, Beijing 100101, P. R. China | | Yun Feng YANG | School of Science, Xi'an University of Science and Technology, Shaanxi 710054, P. R. China |
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| Abstract: |
| In this paper, we consider the problem of detecting for structural changes in the autoregressive processes including AR($p$) process. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampling method introduced by Jach and Kokoszka [J. Methodology and Computing in Applied Probability 25(2004)]. It is shown that under regularity conditions, the asymptotic distribution of the test statistic is the function of a standard Brownian bridge. Simulation results as to AR(1) process and an example of real data analysis are provided for illustration. |
| Citation: |
| DOI:10.3770/j.issn:1000-341X.2011.01.009 |
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