Delay time in monitoring jump changes in linear models

DOI10.1080/02331888.2011.577895MaRDI QIDQ5299460zbMATH OpenOpenAlexFDO

Authors Alena Černíková, Marie Hušková, Zuzana Prášková, J. G. Steinebach

Publication date 25 June 2013

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2011.577895

zbMATH Keywords

asymptotic normalitydelay timelinear regression modelmonitoring proceduresequential change point analysisstopping time

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Linear regression; mixed models (62J05) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Recommendations

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Cites work

• Change-point in the mean of dependent observations
• Change‐point monitoring in linear models
• Delay time in sequential detection of change
• Delay times of sequential procedures for multiple time series regression models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating and Testing Structural Changes in Multivariate Regressions
• scientific article; zbMATH DE number 5713428 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Monitoring changes in linear models
• Monitoring shifts in mean: asymptotic normality of stopping times
• Monitoring Structural Change
• Monitoring structural changes with the generalized fluctuation test
• On the detection of changes in autoregressive time series. I: Asymptotics.
• On the detection of changes in autoregressive time series. II: Resampling procedures
• On the Performance of the Fluctuation Test for Structural Change
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

Cited in

(9)

• Truncated sequential change-point detection based on renewal counting processes. II
• Measuring timeliness of annual reports filing by jump additive models
• Asymptotic delay times of sequential tests based on \(U\)-statistics for early and late change points
• Monitoring parameter change in linear regression model based on the efficient score vector
• Some alternative bivariate Kumaraswamy-type distributions via copula with application in risk management
• Extensions of some classical methods in change point analysis
• Nonparametric phase-II monitoring for detecting monotone trend based on inverse sampling
• Monitoring procedure for parameter change in causal time series
• Asymptotic distribution of the delay time in Page's sequential procedure

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