Delay time in monitoring jump changes in linear models

作者：Cernikova Alena; Huskova Marie; Praskova Zuzana; Steinebach Josef G^*

来源：Statistics, 2013, 47(1): 1-25.

DOI：10.1080/02331888.2011.577895

• sequential change point analysis
• stopping time
• monitoring procedure
• delay time
• linear regression model
• asymptotic normality

Along the lines of Huskova and Koubkova [Sequential procedures for detection of changes in autoregressive sequences, in Proceedings of Prague Stochastics 2006, M. Huskova and M. Janzura, eds., MatfyzPress, Charles University, Prague, pp. 437447], we further investigate a sequential procedure for monitoring jump changes in linear models. Our main result shows that, under the alternative, the suitably normalized stopping time of the procedure has a standard normal limiting distribution. A number of examples are discussed and the finite sample validity of the asymptotics is checked via a small simulation study.

• 出版日期2013-2-1