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Author: Julia Bondarenko

Affiliation: Helmut-Schmidt University Hamburg, University of the Federal Armed Forces Hamburg, Germany

Keyword(s): CUSUM test for structural breaks, recursive residuals, power of test, mixture distribution, Monte Carlo simulation.

Related Ontology Subjects/Areas/Topics: Business Analytics ; Change Detection ; Data Engineering ; Informatics in Control, Automation and Robotics ; Signal Processing, Sensors, Systems Modeling and Control

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 co mplement to the standard CUSUM test. (More)

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Paper citation in several formats:
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 4: ICINCO; ISBN 978-989-8111-32-6; ISSN 2184-2809, SciTePress, pages 18-22. DOI: 10.5220/0001482900180022

@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 4: ICINCO},
year={2008},
pages={18-22},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001482900180022},
isbn={978-989-8111-32-6},
issn={2184-2809},
}

TY - CONF

JO - Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 4: ICINCO
TI - ONE MODIFICATION OF THE CUSUM TEST FOR DETECTION EARLY STRUCTURAL CHANGES
SN - 978-989-8111-32-6
IS - 2184-2809
AU - Bondarenko, J.
PY - 2008
SP - 18
EP - 22
DO - 10.5220/0001482900180022
PB - SciTePress