Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
(2022)
Journal Article
Horváth, L., & Trapani, L. (2023). Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models. Journal of Business and Economic Statistics, 41(4), 1300-1314. https://doi.org/10.1080/07350015.2022.2120485
We propose a family of CUSUM-based statistics to detect the presence of changepoints in the deterministic part of the autoregressive parameter in a Random Coefficient Autoregressive (RCA) sequence. Our tests can be applied irrespective of whether the... Read More about Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models.