Sequential detection of switches in models with changing structures

DOI10.1080/17442508.2015.1086349zbMath1369.62198OpenAlexW2394148469MaRDI QIDQ2804556

B. E. Brodskii, Boris S. Darkhovsky

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1086349

zbMATH Keywords

performance measurechange-pointMonte Carlo testsstochastic switchestype 1 and type 2 errors

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05) Sequential statistical analysis (62L10)

Cites Work

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• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
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• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• Asymptotically Optimal Methods of Early Change-Point Detection
• SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• Stationarity of multivariate Markov-switching ARMA models

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