Bardet, Jean-Marc; Kengne, William - In: Journal of Multivariate Analysis 125 (2014) C, pp. 204-221
We propose a new sequential procedure to detect change in the parameters of a process X=(Xt)t∈Z belonging to a large class of causal models (such as AR(∞), ARCH(∞), TARCH(∞), or ARMA–GARCH processes). The procedure is based on a difference between the historical parameter estimator and...