Modified Testing for Structural Changes in Autoregressive Processes
Received:March 23, 2009  Revised:May 28, 2010
Key Word: subsampling   RCUSQ test   Brownian bridge   structural changes.  
Fund ProjectL:Supported by the National Natural Science Foundation of China (Grant Nos.70873094; 08&ZD046; 10926197; 2010039).
Author NameAffiliation
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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