Sequential detection of switches in models with changing structures
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Publication:2804556
DOI10.1080/17442508.2015.1086349zbMATH Open1369.62198OpenAlexW2394148469MaRDI QIDQ2804556FDOQ2804556
Authors: Boris Brodsky, B. S. Darkhovskij 
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
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- scientific article; zbMATH DE number 3860222
Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05) Sequential statistical analysis (62L10)
Cites Work
- A Markov model for switching regressions
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
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- Basic properties of strong mixing conditions. A survey and some open questions
- SOME DOUBLY STOCHASTIC TIME SERIES MODELS
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- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Moments of Markov switching models
- Stationarity of multivariate Markov-switching ARMA models
- Switching Regression Models with Imperfect Sample Separation Information--With an Application on Cartel Stability
- SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
- Asymptotically optimal methods of early change-point detection
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