2025/12/15 by Junmo Song, Song, Junmo
Economics, Econometrics and Finance · Mathematics · #Advanced Statistical Methods and Models #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.2512.12946
openalex publication_date 2025/12/15 · openalex created_date 2025/12/17 · openalex updated_date 2026/07/28
Structural changes and outliers often coexist, complicating statistical inference. This paper addresses the problem of testing for parameter changes in conditionally heteroscedastic time series models, particularly in the presence of outliers. To mitigate the impact of outliers, we introduce a two-step procedure comprising robust estimation and residual truncation. Based on this procedure, we propose a residual-based robust CUSUM test and its self-normalized counterpart. We derive the limiting null distributions of the proposed robust tests and establish their consistency. Simulation results demonstrate the strong robustness of the tests against outliers. To illustrate the practical application, we analyze Bitcoin data.