Two tests for sequential detection of a change-point in a nonlinear model
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Publication:394776
DOI10.1016/J.JSPI.2013.05.010zbMATH Open1432.62272arXiv1206.2729OpenAlexW2963323169MaRDI QIDQ394776FDOQ394776
Authors: Gabriela Ciuperca 
Publication date: 27 January 2014
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Abstract: In this paper, two tests, based on CUSUM of the residuals and least squares estimation, are studied to detect in real time a change-point in a nonlinear model. A first test statistic is proposed by extension of a method already used in the literature but for the linear models. It is tested the null hypothesis, at each sequential observation, that there is no change in the model against a change presence. The asymptotic distribution of the test statistic under the null hypothesis is given and its convergence in probability to infinity is proved when a change occurs. These results will allow to build an asymptotic critical region. Next, in order to decrease the type I error probability, a bootstrapped critical value is proposed and a modified test is studied in a similar way. Simulation results, using Monte-Carlo technique, for nonlinear models which have numerous applications, investigate the properties of the two statistic tests.
Full work available at URL: https://arxiv.org/abs/1206.2729
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Computational methods for problems pertaining to statistics (62-08) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)
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Cited In (13)
- Modified sequential change point procedures based on estimating functions
- Comments on: ``Extensions of some classical methods in change point analysis
- On the use of estimating functions in monitoring time series for change points
- A statistical test of change-point in mean that almost surely has zero error probabilities
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