An online change detection test for parametric discrete-time stochastic processes

DOI10.1080/07474946.2018.1466540MaRDI QIDQ4689947zbMATH OpenOpenAlexWikidataFDO

Authors Fanni Nedényi

Publication date 22 October 2018

Published in Sequential Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07474946.2018.1466540

zbMATH Keywords

change-point detection: online procedureparametric processrejection time

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Parametric hypothesis testing (62F03)

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Cites work

• A Martingale Inequality and the Law of Large Numbers
• Change‐point monitoring in linear models
• Conditional least squares estimators for multitype Galton-Watson processes
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Markov Chains and Stochastic Stability
• Monitoring changes in linear models
• Monitoring Structural Change
• On sequential detection of parameter changes in linear regression

Cited in

(8)

• Optimal online detection of parameter changes in two linear models
• Real-time detection of a change-point in a linear expectile model
• Fourier trajectory analysis for system discrimination
• Online change detection of Markov chains with unknown post-change transition probabilities
• scientific article; zbMATH DE number 3924480 (Why is no real title available?)
• Online activity detection in a multiuser environment using the matrix CUSUM algorithm
• Online change detection in exponential families with unknown parameters
• Change detection for uncertain autoregressive dynamic models through nonparametric estimation

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