Monitoring shifts in mean: asymptotic normality of stopping times
DOI10.1007/S11749-006-0041-7zbMATH Open1367.62242OpenAlexW1966366432MaRDI QIDQ1019482FDOQ1019482
Authors: Alexander Aue, Lajos Horváth, Piotr Kokoszka, J. G. Steinebach 
Publication date: 2 June 2009
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-006-0041-7
Recommendations
- Optimal stopping times for detecting changes in distributions
- Monitoring change in the mean vector of multivariate normal distribution
- Monitoring the mean and the variance of a stationary process
- Detecting a change of a normal mean by dynamic sampling with a probability bound on a false alarm
- scientific article; zbMATH DE number 168612
- Monitoring for a change point in a sequence of distributions
- Distributions of stopping times in some sequential estimation procedures
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Optimal stopping in statistics (62L15)
Cites Work
- Delay time in sequential detection of change
- Monitoring Structural Change
- Almost sure convergence of the Bartlett estimator
- On discriminating between long-range dependence and changes in mean
- Monitoring changes in linear models
- Change‐point monitoring in linear models
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Rescaled variance and related tests for long memory in volatility and levels
- Conditions for linear processes to be strong-mixing
- On the Strong Mixing Property for Linear Sequences
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Monitoring structural changes with the generalized fluctuation test
- Strong approximation for the sums of squares of augmented GARCH sequences
- On sequential detection of parameter changes in linear regression
- Testing for parameter stability in \(RCA(1)\) time series
Cited In (15)
- Asymptotic distribution of the delay time in Page's sequential procedure
- Truncated sequential change-point detection based on renewal counting processes. II
- Sequentiel testing for the stability of high-frequency portfolio betas
- Delay time in monitoring jump changes in linear models
- Delay time in sequential detection of change
- Extensions of some classical methods in change point analysis
- Structural breaks in time series
- Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
- Asymptotic delay times of sequential tests based on \(U\)-statistics for early and late change points
- EDA on the asymptotic normality of the standardized sequential stopping times. II: Distribution-free models
- Extreme value distribution of a recursive-type detector in linear model
- Monitoring parameter changes in models with a trend
- Inference for modulated stationary processes
- Some Rank-Based Two-Phase Procedures in Sequential Monitoring of Exchange Rate
- Delay times of sequential procedures for multiple time series regression models
This page was built for publication: Monitoring shifts in mean: asymptotic normality of stopping times
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1019482)
