Reaction times of monitoring schemes for ARMA time series

DOI10.3150/14-BEJ604zbMath1388.62246arXiv1506.00859OpenAlexW3105088290MaRDI QIDQ2348744

Stefan Fremdt, Christopher Dienes, Alexander Aue, Josef G. Steinebach

Publication date: 15 June 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.00859

zbMATH Keywords

autoregressive moving averageARMA time seriesCUSUMs procedures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items (6)

Parameter change tests for ARMA-GARCH models ⋮ Sequential change point detection in ARMA-GARCH models ⋮ Monitoring multivariate time series ⋮ Extensions of some classical methods in change point analysis ⋮ A new approach for open‐end sequential change point monitoring ⋮ Page's sequential procedure for change-point detection in time series regression

Uses Software

• astsa

Cites Work

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