Sequential procedures for monltoring the parameters of the autoregressive model relative to unspecified targets

DOI10.1080/07474948508836083MaRDI QIDQ3716133zbMATH OpenOpenAlexFDO

Authors Doyle L. Hawkins

Publication date 1985

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474948508836083

zbMATH Keywords

autoregressive modelfalse signal ratefirst crossing timemartingale central limit theoremreaction timescores-type statisticssequential detection procedureshiftsunspecified targetsweak convergence of random functions with two-dimensional time parameter

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Approximation Theorems of Mathematical Statistics
• Asymptotic theory of some tests for a possible change in the regression slope occurring at an unknown time point
• Dependent central limit theorems and invariance principles
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• scientific article; zbMATH DE number 3733121 (Why is no real title available?)
• Weak Convergence of Stochastic Processes Defined on Semi-Infinite Time Intervals

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(4)

• Detecting shifts in functions of multivariate location and covariance parameters
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• Retrospective and sequential tests for a change in distribution based on kolmogorov-smirnov-type statistics
• Repeated significance tests for stationary arm processes

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