Bootstrap procedures for online monitoring of changes in autoregressive models

Abstract

We compare the behavior of several bootstrap procedures for monitoring changes in the error distribution of autoregressive time series. The proposed procedures are designed to control the overall significance level and include classical tests based on the empirical distribution function as well as Fourier-type methods that utilize the empirical characteristic function, both functions being computed on the basis of properly estimated residuals. The Monte Carlo study incorporates different estimators and a variety of sampling situations with and without outliers