Sequential detection of switches in models with changing structures

DOI10.1080/17442508.2015.1086349MaRDI QIDQ2804556zbMATH OpenOpenAlexFDO

Authors Boris Brodsky, B. S. Darkhovskij

Publication date 4 May 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2015.1086349

zbMATH Keywords

change-pointMonte Carlo testsperformance measurestochastic switchestype 1 and type 2 errors

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Sequential statistical analysis (62L10) Monte Carlo methods (65C05)

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Cites work

• A Markov model for switching regressions
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• Asymptotically optimal methods of early change-point detection
• Basic properties of strong mixing conditions. A survey and some open questions
• scientific article; zbMATH DE number 1191514 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Moments of Markov switching models
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
• Stationarity of multivariate Markov-switching ARMA models
• Switching Regression Models with Imperfect Sample Separation Information--With an Application on Cartel Stability

Cited in

(1)

• Model detection with application to probe based data storage

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