Copula parameter change test for nonlinear AR models with nonlinear GARCH errors

Q Mathematics

Statistical Methodology Pub Date : 2015-07-01 DOI:10.1016/j.stamet.2014.12.001

Sangyeol Lee , Byungsoo Kim

引用次数: 6

Abstract

In this paper, we study the problem of testing for a copula parameter change in nonlinear autoregressive (AR) models with nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) errors. To perform a test, we propose the cusum test based on pseudo maximum likelihood estimates of copula parameters. We derive its limiting null distribution under regularity conditions. For illustration, we conduct a simulation study with an emphasis on STAR–STGARCH models. A real data analysis applied to the S&P 500 index and IBM stock price is also considered.

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具有非线性GARCH误差的非线性AR模型的Copula参数变化检验

研究了具有非线性广义自回归条件异方差(GARCH)误差的非线性自回归(AR)模型的耦合参数变化检验问题。为了进行检验，我们提出了基于copula参数的伪极大似然估计的cusum检验。在正则性条件下，导出了它的极限零分布。为了说明，我们进行了一个模拟研究，重点是STAR-STGARCH模型。应用于标准普尔500指数和IBM股票价格的真实数据分析也被考虑。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistical Methodology STATISTICS & PROBABILITY-

CiteScore

0.59

自引率

0.00%

发文量

期刊介绍： Statistical Methodology aims to publish articles of high quality reflecting the varied facets of contemporary statistical theory as well as of significant applications. In addition to helping to stimulate research, the journal intends to bring about interactions among statisticians and scientists in other disciplines broadly interested in statistical methodology. The journal focuses on traditional areas such as statistical inference, multivariate analysis, design of experiments, sampling theory, regression analysis, re-sampling methods, time series, nonparametric statistics, etc., and also gives special emphasis to established as well as emerging applied areas.