On the reaction time of moving sum detectors

DOI10.1016/j.jspi.2012.02.053zbMath1244.62115OpenAlexW2078464221MaRDI QIDQ433744

Mario Kühn, Josef G. Steinebach, Alexander Aue, Lajos Horváth

Publication date: 6 July 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.02.053

zbMATH Keywords

structural stabilityCUSUMchange-pointsMOSUMon-line monitoringsequential change-point analysis

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items

Monitoring multivariate time series, A surveillance procedure for random walks based on local linear estimation, Modified sequential change point procedures based on estimating functions, Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions, Monitoring parameter changes in models with a trend, Asymptotic Behavior of Delay Times of Bubble Monitoring Tests, Page's sequential procedure for change-point detection in time series regression

Uses Software

• astsa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Monitoring disruptions in financial markets
• Delay times of sequential procedures for multiple time series regression models
• Improved bounds for the average run length of control charts based on finite weighted sums
• Strong approximation for the sums of squares of augmented GARCH sequences
• On strong invariance principles under dependence assumptions
• Delay time in sequential detection of change
• Control charts based on weighted sums
• Monitoring changes in linear models
• On linear processes with dependent innovations
• MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
• Change‐point monitoring in linear models
• On the Performance of the Fluctuation Test for Structural Change
• Testing for Structural Change in Dynamic Models
• An Extension of the MOSUM Technique for Quality Control
• The Use of MOSUMS for Quality Control
• An approximation of partial sums of independent RV's, and the sample DF. II
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Estimating and Testing Linear Models with Multiple Structural Changes
• MOSUM tests for parameter constancy
• Monitoring Structural Change