Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models

DOI10.1080/07474940802241058zbMath1145.62061arXiv1001.1845OpenAlexW2001276124MaRDI QIDQ3527719

Ansgar Steland

Publication date: 30 September 2008

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

Full work available at URL: https://arxiv.org/abs/1001.1845

zbMATH Keywords

change-pointnonparametric smoothingcontrol chartweighted partial sum processautoregressive unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Functional limit theorems; invariance principles (60F17) Sequential estimation (62L12)

Related Items

Monitoring persistent change in a heavy-tailed sequence with polynomial trends, Discussion on “Quickest Detection Problems: Fifty Years Later” by Albert N. Shiryaev, A binary control chart to detect small jumps, Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Decision theoretic optimality of the cusum procedure
• Sequential analysis. Tests and confidence intervals
• Optimal stopping times for detecting changes in distributions
• Invariance principles for recursive residuals
• Time series: theory and methods.
• A note on Ritov's Bayes approach to the minimax property of the cusum procedure
• Nonparametric tests for unit roots and cointegration.
• Rescaled variance and related tests for long memory in volatility and levels
• Optimality of the CUSUM procedure in continuous time.
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Sequential change detection revisited
• Weighted Dickey-Fuller processes for detecting stationarity
• MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY
• Cumulative Damage Models for System Failure with Application to Carbon Fibers and Composites
• Monitoring Processes That Wander Using Integrated Moving Average Models
• Tricks or Treats with the Hilbert Matrix
• On‐line control procedures under the random‐walk model with measurement error and attribute observations
• Random Walks with Drift – A Sequential Approach
• A new family of life distributions
• On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Convergence of stochastic processes
• Models for Variable-Stress Accelerated Life Testing Experiments Based on Wiener Processes and the Inverse Gaussian Distribution