Sequential procedures for monltoring the parameters of the autoregressive model relative to unspecified targets

DOI10.1080/07474948508836083zbMath0588.62145OpenAlexW2044485479MaRDI QIDQ3716133

Doyle L. Hawkins

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1080/07474948508836083

zbMATH Keywords

autoregressive modelshiftsreaction timemartingale central limit theoremfirst crossing timefalse signal ratescores-type statisticssequential detection procedureunspecified targetsweak convergence of random functions with two-dimensional time parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Sequential statistical analysis (62L10)

Related Items (3)

Retrospective and sequential tests for a change in distribution based on kolmogorov-smirnov-type statistics ⋮ Detecting shifts in functions of multivariate location and covariance parameters ⋮ Repeated significance tests for stationary arm processes

Cites Work

• Dependent central limit theorems and invariance principles
• Asymptotic theory of some tests for a possible change in the regression slope occurring at an unknown time point
• Approximation Theorems of Mathematical Statistics
• Weak Convergence of Stochastic Processes Defined on Semi-Infinite Time Intervals
• Unnamed Item
• Unnamed Item

This page was built for publication: Sequential procedures for monltoring the parameters of the autoregressive model relative to unspecified targets