The Cusum Test for Parameter Change in Time Series Models

In this paper, we consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider the change of the parameters in a random coeefficient autoregressive (1) model and that of the autocovariances of a linear process. Simulation results are reported for illustration. Copyright 2003 Board of the Foundation of the Scandinavian Journal of Statistics..