Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator

DOI10.1081/SQA-120034110zbMath1101.62066OpenAlexW2051189161MaRDI QIDQ3155688

Taewook Lee, Sangyeol Lee

Publication date: 18 January 2005

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

Full work available at URL: https://doi.org/10.1081/sqa-120034110

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Related Items (6)

Recent progress in parameter change test for integer-valued time series models ⋮ Properties and Use of the Shewhart Method and Its Followers ⋮ A general procedure for change-point detection in multivariate time series ⋮ Test for Parameter Change in Linear Processes Based on Whittle's Estimator ⋮ Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators ⋮ Test for Parameter Change in ARIMA Models

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• On the Strong Mixing Property for Linear Sequences
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• The Cusum Test for Parameter Change in Time Series Models
• Statistical methods in bioinformatics: an introduction

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