JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2025, Vol. 60 ›› Issue (3): 107-115.doi: 10.6040/j.issn.1671-9352.0.2023.541

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Test of parameter change point in RCA(1)model based on LSCUSUM method

HOU Chengting1, CHEN Zhanshou1,2*   

  1. 1. School of Mathematics and Statistics, Qinghai Normal University, Xining 810008, Qinghai, China;
    2. The State Key Labora-tory of Tibetan Intelligent Information Processing and Application Jointly Built by Qinghai Normal University, Xining 810008, Qinghai, China
  • Published:2025-03-10

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Abstract: The parameter change point problem of the first-order random coefficient autoregressive(RCA(1))model is studied, and a location and scale based cumulative sum(LSCUSUM)test statistic is proposed to test the parameter change points. Under the null hypothesis of no change points, the convergence of the LSCUSUM statistic to the upper bound of the Brownian bridge is derived. Consistency of the method is established under the alternative hypothesis. Numerical simulation results demonstrate that the introduced LSCUSUM method effectively controls the empirical level. Furthermore, compared to existing methods for testing parameter change points in RCA(1)models, the proposed approach exhibits an enhanced empirical power. Finally, the method is applied to analyze daily closing data of Dongjing electronics stock, and detect the change points within the dataset.

Key words: random coefficient model, LSCUSUM test, parameter change point, change point test

CLC Number: 

  • O212.1
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