Delay time in sequential detection of change

DOI10.1016/J.SPL.2004.01.002MaRDI QIDQ1771296zbMATH OpenOpenAlexFDO

Authors Alexander Aue, Lajos Horváth

Publication date 7 April 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2004.01.002

zbMATH Keywords

Change-point estimationCUSUMDriftInvariancePartial sumsSequential procedureWiener process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Sample path properties (60G17) Asymptotic distribution theory in statistics (62E20) Sequential statistical analysis (62L10)

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Cites work

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• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
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• Monitoring Structural Change
• On strong invariance principles under dependence assumptions
• Stationarity of GARCH processes and of some nonnegative time series
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• The approximation of partial sums of independent RV's

Cited in

(52)

• Truncated sequential change-point detection based on renewal counting processes. II
• Monitoring shifts in mean: asymptotic normality of stopping times
• Modified sequential change point procedures based on estimating functions
• Strong approximation for RCA(1) time series with applications
• Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic
• Sequential change point test in the presence of outliers: the density power divergence based approach
• Sequential change point detection in high dimensional time series
• Asymptotic delay times of sequential tests based on \(U\)-statistics for early and late change points
• Sequential testing for structural stability in approximate factor models
• Extreme value distribution of a recursive-type detector in linear model
• Monitoring parameter changes in models with a trend
• On the use of estimating functions in monitoring time series for change points
• Sequential detection of gradual changes in the location of a general stochastic process
• Reaction times of monitoring schemes for ARMA time series
• On sequential detection of parameter changes in linear regression
• Extensions of some classical methods in change point analysis
• Detection of dependence patterns with delay
• Sequential monitoring variance changes in location model
• Sequential Monitoring for Changes in Models with a Polynomial Trend
• Structural breaks in time series
• Sequentiel testing for the stability of high-frequency portfolio betas
• Sufficient reduction in multivariate surveillance
• Delay times of sequential procedures for multiple time series regression models
• Asymptotic distribution of the delay time in Page's sequential procedure
• Two tests for sequential detection of a change-point in a nonlinear model
• Strong approximations and sequential change-point analysis for diffusion processes
• On the reaction time of moving sum detectors
• Change detection in the mean of a white Gaussian process by the backward standardized sum
• A new approach for open‐end sequential change point monitoring
• Asymptotic behavior of delay times of bubble monitoring tests
• Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
• Monitoring multivariate time series
• Page's sequential procedure for change-point detection in time series regression
• Change detection in INARCH time series of counts
• Delay time in monitoring jump changes in linear models
• Asymptotic properties of bubble monitoring tests
• Modified procedures for change point monitoring in linear models
• BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA
• Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function
• Monitoring procedures for detecting gradual changes
• Network online change point localization
• Online change-point detection for matrix-valued time series with latent two-way factor structure
• On-line detection of changes in the shape of intraday volatility curves
• Real-time detection of local no-arbitrage violations
• Fast on-line changepoint detection using heavily-weighted CUSUM and veto-based decision rules
• Sequential monitoring for changes in GARCH(1,1) models without assuming stationarity
• Monitoring time series with short detection delay
• Online jump and kink detection in segmented linear regression: statistical optimality meets computational efficiency
• Online Change-Point Detection for Functional Data
• Monitoring risk in a ruin model perturbed by diffusion
• Strong approximation for the sums of squares of augmented GARCH sequences
• A Note on Online Change Point Detection

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