OPTIMAL CHANGE-POINT DETECTION IN TREND MODELS WITH INTEGRATED MOVING AVERAGE ERRORS

DOI10.1081/SQA-120004175MaRDI QIDQ3148285zbMATH OpenOpenAlexFDO

Authors K. Suresh Chandra, H. Jalikop Vaman

Publication date 3 December 2002

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sqa-120004175

zbMATH Keywords

polynomial trend model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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Cites work

• scientific article; zbMATH DE number 3963757 (Why is no real title available?)
• scientific article; zbMATH DE number 3340850 (Why is no real title available?)
• A Simple Method for Studying Run-Length Distributions of Exponentially Weighted Moving Average Charts
• A change in level of a non-stationary time series
• Optimal online detection of parameter changes in two linear models

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