Sequential monitoring for change in scale

MaRDI QIDQ3639852zbMATH OpenFDO

Authors Ondřej Chochola

Publication date 26 October 2009

Full work available at URL https://eudml.org/doc/33959, http://dml.cz/handle/10338.dmlcz/135884

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Sequential statistical analysis (62L10) Applications of statistics to economics (62P20)

Recommendations

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• A likelihood ratio approach to sequential change point detection for a general class of parameters
• Self-normalized sequential change-point detection

Cites work

• scientific article; zbMATH DE number 2023357 (Why is no real title available?)
• Monitoring changes in linear models
• Monitoring Structural Change
• Monitoring structural changes with the generalized fluctuation test
• On sequential detection of parameter changes in linear regression
• Testing and dating of structural changes in practice

Cited in

(2)

• MOSUM monitoring for variance change in nonparametric regression models
• Some partially sequential nonparametric tests for detecting linear trend

Describes a project that uses

Uses Software

• strucchange

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