Test for Parameter Change in ARIMA Models

Sangyeol Lee, Siyun Park, Koichi Maekawa, Ken-Ichi Kawai
2006 Communications in statistics. Simulation and computation  
In this paper we consider the problem of testing for parameter changes in ARIMA models based on the cusum test. The proposed test procedure is applicable to testing for the change from stationary models to nonstationary models, and vice versa. The idea is to transform the time series via differencing to make the whole time series as a combination of stationary subseries. For this task, we propose a graphical method to identify the right order of differencing. Then the cusum test statistic
more » ... est statistic proposed by Lee et al. (2003) is constructed based the differenced time series. Simulation study and real data analysis are provided for illustration. If the orders d and d are known, one can test H 0 vs. H 1 applying Lee et al.'s (2003) method
doi:10.1080/03610910600591537 fatcat:voqbgubn7bgh5hk7vhhcjacl4y