| Title:
|
Sequential monitoring for change in scale (English) |
| Author:
|
Chochola, Ondřej |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
44 |
| Issue:
|
5 |
| Year:
|
2008 |
| Pages:
|
715-730 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
We propose a sequential monitoring scheme for detecting a change in scale. We consider a stable historical period of length $m$. The goal is to propose a test with asymptotically small probability of false alarm and power 1 as the length of the historical period tends to infinity. The asymptotic distribution under the null hypothesis and consistency under the alternative hypothesis is derived. A small simulation study illustrates the finite sample performance of the monitoring scheme. (English) |
| Keyword:
|
sequential test for change in scale |
| MSC:
|
62E20 |
| MSC:
|
62J05 |
| MSC:
|
62L10 |
| MSC:
|
62P20 |
| MSC:
|
65C60 |
| idZBL:
|
Zbl 1177.62100 |
| idMR:
|
MR2479314 |
| . |
| Date available:
|
2009-09-24T20:39:27Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135884 |
| . |
| Reference:
|
[1] Chochola O.: Rekurzivní postupy pro detekci změny rozdělení (Recursive Procedures for Detection of Changes).Master’s Thesis. Faculty of Mathematics and Physics, Charles University, Prague 2007 |
| Reference:
|
[2] Chow Y. S., Teicher H.: Probability Theory: Independence, Interchangeability, Martingales.Third edition. Springer, New York 2003 Zbl 1049.60001 |
| Reference:
|
[3] Chu C.-S. J., Stinchcombe, M., White H.: Monitoring structural change.Econometrica 64 (1996), 1045–1065 Zbl 0856.90027 |
| Reference:
|
[4] Horváth L., Hušková M., Kokoszka, M., Steinebach J.: Monitoring changes in linear models.J. Stat. Plann. Inference 126 (2004), 225–251 Zbl 1075.62054, MR 2090695 |
| Reference:
|
[5] Horváth L., Kokoszka, P., Steinebach J.: On sequential detection of parameter changes in linear regression.Statist. Probab. Lett. 77 (2007), 885–895 Zbl 1117.62079, MR 2363438 |
| Reference:
|
[6] Koubková A.: Sequential Change-Point Analysis.Ph.D. Thesis. Faculty of Mathematics and Physics, Charles University, Prague 2006 |
| Reference:
|
[7] Leisch F., Hornik, K., Kuan E. M.: Monitoring structural changes with the generalized fluctuation test.Econometric Theory 16 (2000), 835–854 Zbl 0967.62067, MR 1803712 |
| Reference:
|
[8] Zeileis A., Kleiber C., Krämer, W., Hornik K.: Testing and dating of structural changes in practice.Comput. Statist. Data Anal. 44 (2003), 1–2, 109–123 MR 2019790 |
| Reference:
|
[9] Zeileis A., Leisch F., Hornik, K., Kleiber C.: Strucchange: An $r$ package for testing for structural change in linear regression models.J. Statist. Software 7 (2002), 2 |
| Reference:
|
[10] Zeileis A., Leisch F., Kleiber, C., Hornik K.: Monitoring structural change in dynamic econometric models.J. Appl. Econometrics 20 (1005), 99–121 MR 2138205 |
| . |
