컨텐츠 시작
학술대회/행사
초록검색
| 제출번호(No.) | 0619 |
|---|---|
| 분류(Section) | Invited Talk |
| 분과(Session) | Probability / Stochastic Process / Statistics (SS-12) |
| 영문제목 (Title(Eng.)) |
Parameter change test for time series models |
| 저자(Author(s)) |
Sangyeol Lee1 Seoul National University1 |
| 초록본문(Abstract) | In this talk, we consider the paramter change test for time series models. The test is based on the CUSUM test and its limiting distribution is derived in some time series models such as Poisson autoregressive models. A real data anlysisis is provided for illustration. |
| 분류기호 (MSC number(s)) |
62M10 |
| 키워드(Keyword(s)) | paramter channge test, time seroies models, GARCH modes, Poisson autorefgressive models |
| 강연 형태 (Language of Session (Talk)) |
English |