Extreme value distribution of a recursive-type detector in linear model

DOI10.1007/s10687-007-0047-xzbMath1198.62075MaRDI QIDQ2271708

Alexander Aue, Mario Kühn

Publication date: 8 August 2009

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-007-0047-x

zbMATH Keywords

CUSUM; augmented GARCH process; sequential change point detection

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62G32: Statistics of extreme values; tail inference

62L10: Sequential statistical analysis

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