Abstract
We develop a procedure for monitoring changes in the error distribution of autoregressive time series. The proposed procedure, unlike standard procedures which are also referred to, utilizes the empirical characteristic function of properly estimated residuals. The limit behavior of the test statistic is investigated under the null hypothesis, while computational and other relevant issues are addressed. © Springer-Verlag Berlin Heidelberg 2010.
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Hušková, M., Kirch, C., & Meintanis, S. G. (2010). Fourier methods for sequential change point analysis in autoregressive models. In Proceedings of COMPSTAT 2010 - 19th International Conference on Computational Statistics, Keynote, Invited and Contributed Papers (pp. 501–508). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-7908-2604-3_50
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