Detecting change in a random sequence

DOI10.1016/0047-259X(87)90181-3zbMath0641.62049MaRDI QIDQ1100836

Lajos Horváth, Miklós Csörgő

Publication date: 1987

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(87)90181-3

zbMATH Keywords

consistency; empirical distribution; change point problem; recursive residuals; strong approximations; boundary crossing problems; Gaussian linear model; sequential ranks; approximation by a Kiefer process; asymptotic threshold; sequential test statistic; weighted statistics

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62L10: Sequential statistical analysis

60F17: Functional limit theorems; invariance principles

Related Items

Asymptotic properties for the sequential CUSUM procedure, Weak convergence of weighted empirical type processes under contiguous and changepoint alternatives, Nonparametric detection of changepoints for sequentially observed data, Change-point problems for multivariate time series using pseudo-observations, Change-point problems: bibliography and review

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