A Bootstrap View on Dickey-Fuller Control Charts for AR(1) Series

A Bootstrap View on Dickey-Fuller Control Charts for AR(1) Series

Dickey-Fuller control charts aim at monitoring a time series until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical values), w...

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Bibliographic Details
Main Author: Ansgar Steland
Format: Article
Language:English
Published: Austrian Statistical Society 2016-04-01
Series:Austrian Journal of Statistics
Online Access:http://www.ajs.or.at/index.php/ajs/article/view/381
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spelling doaj-bbc713540b2849b4b062d8a16f75988b2021-04-22T12:33:37ZengAustrian Statistical SocietyAustrian Journal of Statistics1026-597X2016-04-01352&310.17713/ajs.v35i2&3.381A Bootstrap View on Dickey-Fuller Control Charts for AR(1) SeriesAnsgar Steland0RWTH Aachen University, GermanyDickey-Fuller control charts aim at monitoring a time series until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical values), we study the bootstrap and establish its a.s. consistency for fixed alternatives. Simulations indicate that the bootstrap control chart works very well.http://www.ajs.or.at/index.php/ajs/article/view/381
collection DOAJ
language English
format Article
sources DOAJ
author Ansgar Steland
spellingShingle Ansgar Steland
A Bootstrap View on Dickey-Fuller Control Charts for AR(1) Series
Austrian Journal of Statistics
author_facet Ansgar Steland
author_sort Ansgar Steland
title A Bootstrap View on Dickey-Fuller Control Charts for AR(1) Series
title_short A Bootstrap View on Dickey-Fuller Control Charts for AR(1) Series
title_full A Bootstrap View on Dickey-Fuller Control Charts for AR(1) Series
title_fullStr A Bootstrap View on Dickey-Fuller Control Charts for AR(1) Series
title_full_unstemmed A Bootstrap View on Dickey-Fuller Control Charts for AR(1) Series
title_sort bootstrap view on dickey-fuller control charts for ar(1) series
publisher Austrian Statistical Society
series Austrian Journal of Statistics
issn 1026-597X
publishDate 2016-04-01
description Dickey-Fuller control charts aim at monitoring a time series until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical values), we study the bootstrap and establish its a.s. consistency for fixed alternatives. Simulations indicate that the bootstrap control chart works very well.
url http://www.ajs.or.at/index.php/ajs/article/view/381
work_keys_str_mv AT ansgarsteland abootstrapviewondickeyfullercontrolchartsforar1series
AT ansgarsteland bootstrapviewondickeyfullercontrolchartsforar1series
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