Monitoring shifts in mean: asymptotic normality of stopping times
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Publication:1019482
DOI10.1007/s11749-006-0041-7zbMath1367.62242OpenAlexW1966366432MaRDI QIDQ1019482
Alexander Aue, Lajos Horváth, Piotr S. Kokoszka, Josef G. Steinebach
Publication date: 2 June 2009
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-006-0041-7
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Optimal stopping in statistics (62L15)
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Delay times of sequential procedures for multiple time series regression models, Delay time in monitoring jump changes in linear models, SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS, Asymptotic delay times of sequential tests based on \(U\)-statistics for early and late change points, Inference for modulated stationary processes, Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes, Extreme value distribution of a recursive-type detector in linear model, Extensions of some classical methods in change point analysis, Truncated sequential change-point detection based on renewal counting processes. II, Monitoring parameter changes in models with a trend, Structural breaks in time series
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