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Constancy and Goodness of Fit Test for Time Series Models
DC Field | Value | Language |
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dc.contributor.advisor | 이상열 | - |
dc.contributor.author | 이지연 | - |
dc.date.accessioned | 2017-07-14T00:31:18Z | - |
dc.date.available | 2017-07-14T00:31:18Z | - |
dc.date.issued | 2014-02 | - |
dc.identifier.other | 000000018134 | - |
dc.identifier.uri | https://hdl.handle.net/10371/121148 | - |
dc.description | 학위논문 (박사)-- 서울대학교 대학원 : 통계학과, 2014. 2. 이상열. | - |
dc.description.abstract | In this thesis, we concentrate on the constancy test of parameter and goodness of fit test for time series models. For the constancy test, we consider two cusum type test procedures to detect parameter change. The first one is cusum type retrospective test to detect parameter change in the past given observations and the
other one is cusum type sequential test that sequentially monitor the constancy of parameters based on historical sample. First, we apply the cusum type retrospective test to various time series model and investigate their limiting distribution. We derive its limiting null distribution and report a simulation result that validates our test. Second, we apply a monitoring procedure to detect change of the parameter in random coefficient model. Moreover, we develop a monitoring procedure to detect change of the copula parameter in strong mixing processes. We propose two monitoring procedures based on the cumulative sums of scores and the fluctuations of copula parameter estimates. Further, we investigate the asymptotic properties of our monitoring procedures under both the null of no change in the copula parameter and its alternative. We also illustrate a simulation study and a real data analysis. Finally, for goodness of fit test, we consider the maximum entropy test. We apply this test to GARCH model and AR(∞) model. Its asymptotic distribution is derived under the null hypothesis. Through a simulation study, it is demonstrated that the proposed test performs adequately. Particularly, a bootstrap method is employed to cope with small samples. We also conduct a real data analysis for illustration. | - |
dc.description.tableofcontents | Abstract
List of Tables ix List of Figures x 1 Introduction 2 Reviews 2.1 Cusum test 2.2 Monitoring procedures 2.3 Maximum entropy test 3 Constancy Test for FARIMA Long Memory Processes 3.1 Introduction 3.2 Main results 3.3 Simulation study 3.4 Proofs 4 Change Point Detection in Copula ARMA-GARCH Models 4.1 Introduction 4.2 Main results 4.2.1 Case I: iid sample with known marginal distributions 4.2.2 Case II: iid sample with unknown marginal distributions 4.2.3 Case III: copula ARMA-GARCH model 4.3 Simulation study 4.4 Proofs 5 Change Point Detection in SCOMDY Models 5.1 Introduction 5.2 Main results 5.2.1 SCOMDY models 5.2.2 Change point test for copula parameters 5.3 Simulation study 5.4 Proofs 6 Residual Based Cusum Test for Parameter Change in AR-GARCH Models 6.1 Introduction 6.2 Main results 6.3 Empirical study 6.3.1 Simulation study 6.3.2 Real data analysis 6.4 Proofs 7 Monitoring Parameter Changes for Random Coefficient 7.1 Introduction 7.2 Main results 7.3 Simulation study 7.4 Proofs 8 Monitoring Test for Stability of Copula Parameter in Time Series 8.1 Introduction 8.2 Main results 8.2.1 Monitoring procedure 8.2.2 Score-based monitoring procedure 8.2.3 Estimator-based monitoring procedure 8.3 Empirical study 8.3.1 Simulation Result 8.3.2 Real data analysis 8.4 Proofs 9 Maximum Entropy Test for time series models 9.1 Introduction 9.2 Maximum Entropy Test for GARCH Models 9.3 Maximum Entropy Test for Infinite Order Autoregressive Models 9.4 Empirical study 9.4.1 Simulation study 9.4.2 Real data analysis Bibliography Abstract (in Korean) Acknowledgement (in Korean) | - |
dc.format | application/pdf | - |
dc.format.extent | 963638 bytes | - |
dc.format.medium | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | constancy test | - |
dc.subject | cusum test | - |
dc.subject | sequential test | - |
dc.subject | monitoring procedure | - |
dc.subject | maximum entropy test | - |
dc.subject | copula | - |
dc.subject | semiparametric copula model | - |
dc.subject | pseudo maximum likelihood estimator | - |
dc.subject.ddc | 519 | - |
dc.title | Constancy and Goodness of Fit Test for Time Series Models | - |
dc.type | Thesis | - |
dc.contributor.AlternativeAuthor | Jiyeon Lee | - |
dc.description.degree | Doctor | - |
dc.citation.pages | 208 | - |
dc.contributor.affiliation | 자연과학대학 통계학과 | - |
dc.date.awarded | 2014-02 | - |
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