Cai, Yuzhi; Davies, Neville - In: Journal of Applied Statistics 30 (2003) 9, pp. 983-1001
We propose methods for monitoring the residuals of a fitted ARIMA or an autoregressive fractionally integrated moving average (ARFIMA) model in order to detect changes of the parameters in that model. We extend the procedures of Box & Ramirez (1992) and Ramirez (1992) and allow the differencing...