On sequential detection of parameter changes in linear regression

DOI10.1016/J.SPL.2006.12.014MaRDI QIDQ2373671zbMATH OpenOpenAlexFDO

Authors Lajos Horváth, Piotr Kokoszka, J. G. Steinebach

Publication date 16 July 2007

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

Full work available at URL https://doi.org/10.1016/j.spl.2006.12.014

zbMATH Keywords

simulations

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Sequential statistical analysis (62L10) Functional limit theorems; invariance principles (60F17)

Recommendations

• Sequential Detection of Change-Points in Linear Models
• scientific article; zbMATH DE number 4098568
• Sequential change point detection in linear quantile regression models
• Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
• Change detection in linear regression with time series errors
• Detecting Changes in Linear Regressions
• Sequential change detection in the presence of unknown parameters
• scientific article; zbMATH DE number 1031816
• A nonparametric procedure for changepoint detection in linear regression

Cites work

• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 272681 (Why is no real title available?)
• A limit theorem for the maximum of normalized sums of independent random variables
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• An approximation of partial sums of independent RV's, and the sample DF. II
• Approximation of partial sums of i.i.d.r.v.s when the summands have only two moments
• Change‐point monitoring in linear models
• Delay time in sequential detection of change
• Monitoring Structural Change
• Monitoring changes in linear models
• The approximation of partial sums of independent RV's

Cited in

(23)

• Asymptotic distribution of the delay time in Page's sequential procedure
• Delay time in monitoring jump changes in linear models
• On the use of estimating functions in monitoring time series for change points
• Extensions of some classical methods in change point analysis
• Sequential monitoring for change in scale
• Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
• Real-time change point detection in linear models using the ranking selection procedure
• Modified procedures for change point monitoring in linear models
• Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
• Monitoring shifts in mean: asymptotic normality of stopping times
• Online change-point detection for matrix-valued time series with latent two-way factor structure
• Monitoring parameter change in linear regression model based on the efficient score vector
• Extreme value distribution of a recursive-type detector in linear model
• Sequential Monitoring for Changes in Models with a Polynomial Trend
• Detection of stationary errors in multiple regressions with integrated regressors and cointegration
• An online change detection test for parametric discrete-time stochastic processes
• Monitoring parameter changes in models with a trend
• Tests for equality of several mean vector functions for multivariate functional data with applications
• Real-time detection of local no-arbitrage violations
• Monitoring sequential structural changes in penalized high-dimensional linear models
• Optimal online detection of parameter changes in two linear models
• Fast on-line changepoint detection using heavily-weighted CUSUM and veto-based decision rules
• Multivariate analysis of variance for functional data

This page was built for publication: On sequential detection of parameter changes in linear regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2373671)