ONE MODIFICATION OF THE CUSUM TEST FOR DETECTION EARLY STRUCTURAL CHANGES

Julia Bondarenko

2008

Abstract

Structural shifts in time series can occur as consequences of complex processes, arising in system. An ignorance of such structural changes can cause an associated regression model misspecification. In practice, early detection and response to outbreaks, causing the changes in a process, is highly important. The famous CUSUM test of Brown, Durbin & Evans, has a poor power in detecting the structural breaks in parameters occurring early (and also late) in the sample. In this paper, we propose CUSUM-similar test which, due to the transformation of recursive residuals forces the detection of temporal dependence structure in linear regression model and has a larger power for the early structural breaks. Here our interest centres on the detection of single breaks occurring in parameters of the linear model. Distribution and other probabilistic characteristics of the transformed residuals are provided, the boundaries for the new test are derived. The new test can be considered then as a complement to the standard CUSUM test.

Paper Citation

in Harvard Style

Bondarenko J. (2008). ONE MODIFICATION OF THE CUSUM TEST FOR DETECTION EARLY STRUCTURAL CHANGES . In Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, ISBN 978-989-8111-32-6, pages 18-22. DOI: 10.5220/0001482900180022

in Bibtex Style

@conference{icinco08,
author={Julia Bondarenko},
title={ONE MODIFICATION OF THE CUSUM TEST FOR DETECTION EARLY STRUCTURAL CHANGES},
booktitle={Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,},
year={2008},
pages={18-22},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001482900180022},
isbn={978-989-8111-32-6},
}

in EndNote Style

TY - CONF
JO - Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,
TI - ONE MODIFICATION OF THE CUSUM TEST FOR DETECTION EARLY STRUCTURAL CHANGES
SN - 978-989-8111-32-6
AU - Bondarenko J.
PY - 2008
SP - 18
EP - 22
DO - 10.5220/0001482900180022