Optimal sequential kernel detection for dependent processes
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Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Sequential estimation (62L12) Sequential statistical methods (62L99) Optimal stopping in statistics (62L15)
Abstract: In many applications one is interested to detect certain (known) patterns in the mean of a process with smallest delay. Using an asymptotic framework which allows to capture that feature, we study a class of appropriate sequential nonparametric kernel procedures under local nonparametric alternatives. We prove a new theorem on the con- vergence of the normed delay of the associated sequential detection procedure which holds for dependent time series under a weak mixing condition. The result suggests a simple procedure to select a kernel from a finite set of candidate kernels, and therefore may also be of interest from a practical point of view. Further, we provide two new theorems about the existence and an explicit representation of optimal kernels minimizing the asymptotic normed delay. The results are illustrated by some examples.
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Cited in
(10)- NP-Optimal Kernels for Nonparametric Sequential Detection Rules
- Sequential control of time series by functionals of kernel-weighted empirical processes under local alternatives
- A Bayesian View on Detecting Drifts by Nonparametric Methods
- Random Walks with Drift – A Sequential Approach
- Bump detection in the presence of dependency: does it ease or does it load?
- Sequential cross-validated bandwidth selection under dependence and Anscombe-type extensions to random time horizons
- Sequential kernel estimation of the conditional intensity of nonstationary point processes
- Sequential data-adaptive bandwidth selection by cross-validation for nonparametric prediction
- Monitoring procedures to detect unit roots and stationarity
- Weighted Dickey-Fuller processes for detecting stationarity
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