Two tests for sequential detection of a change-point in a nonlinear model
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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)
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.
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Cites work
- scientific article; zbMATH DE number 4169866 (Why is no real title available?)
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Cited in
(13)- Comments on: ``Extensions of some classical methods in change point analysis
- Accurate tests and intervals based on nonlinear cusum statistics
- Sequential change point detection in high dimensional time series
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- Comments on: ``Extensions of some classical methods in change point analysis
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- Real time change-point detection in a nonlinear quantile model
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- Test by adaptive Lasso quantile method for real-time detection of a change-point
- Testing for parameter stability in nonlinear autoregressive models
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