OPTIMAL CHANGE-POINT DETECTION IN TREND MODELS WITH INTEGRATED MOVING AVERAGE ERRORS

DOI10.1081/SQA-120004175zbMath0999.62064OpenAlexW2060582779MaRDI QIDQ3148285

K. Suresh Chandra, H. Jalikop Vaman

Publication date: 3 December 2002

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sqa-120004175

zbMATH Keywords

polynomial trend model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Cites Work

• Optimal online detection of parameter changes in two linear models
• A Simple Method for Studying Run-Length Distributions of Exponentially Weighted Moving Average Charts
• A change in level of a non-stationary time series
• Unnamed Item
• Unnamed Item

This page was built for publication: OPTIMAL CHANGE-POINT DETECTION IN TREND MODELS WITH INTEGRATED MOVING AVERAGE ERRORS