In this paper, we study the asymptotic CUSUM tests for detecting changes in the mean or variance of a moving-average process with long memory. When there is no change over [O,T], the asymptotic distribution of the tes...In this paper, we study the asymptotic CUSUM tests for detecting changes in the mean or variance of a moving-average process with long memory. When there is no change over [O,T], the asymptotic distribution of the test statistic is derived, which allows us to find asymptotic critical values. When there is a change, the behavior of the test statistic is discussed. Conditions for the consistency of these tests are also discussed. Based on the asymptotic results, simulation studies of testing for changes in the mean show that the CUSUM test proposed performs well.展开更多
基金Supported by National Natural Science Foundation of China (Grant No. 10901136)
文摘In this paper, we study the asymptotic CUSUM tests for detecting changes in the mean or variance of a moving-average process with long memory. When there is no change over [O,T], the asymptotic distribution of the test statistic is derived, which allows us to find asymptotic critical values. When there is a change, the behavior of the test statistic is discussed. Conditions for the consistency of these tests are also discussed. Based on the asymptotic results, simulation studies of testing for changes in the mean show that the CUSUM test proposed performs well.
