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)

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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?)
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• 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

(20)

• Online change-point detection for matrix-valued time series with latent two-way factor structure
• Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
• Monitoring parameter change in linear regression model based on the efficient score vector
• Asymptotic distribution of the delay time in Page's sequential procedure
• Monitoring sequential structural changes in penalized high-dimensional linear models
• Monitoring parameter changes in models with a trend
• Optimal online detection of parameter changes in two linear models
• Delay time in monitoring jump changes in linear models
• An online change detection test for parametric discrete-time stochastic processes
• Sequential Monitoring for Changes in Models with a Polynomial Trend
• Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
• Sequential monitoring for change in scale
• Detection of stationary errors in multiple regressions with integrated regressors and cointegration
• On the use of estimating functions in monitoring time series for change points
• Extreme value distribution of a recursive-type detector in linear model
• Monitoring shifts in mean: asymptotic normality of stopping times
• Real-time change point detection in linear models using the ranking selection procedure
• Modified procedures for change point monitoring in linear models
• Multivariate analysis of variance for functional data
• Extensions of some classical methods in change point analysis

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