Sequential testing of gradual changes in the drift of a stochastic process

DOI10.1016/j.jspi.2011.02.020zbMath1213.62129OpenAlexW2003638277MaRDI QIDQ538120

Hella Timmermann, Josef G. Steinebach

Publication date: 23 May 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.02.020

zbMATH Keywords

change-point analysis

Mathematics Subject Classification ID

Related Items (6)

Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables ⋮ Asymmetric cusp estimation in regression models ⋮ Estimating a gradual parameter change in an AR(1)-process ⋮ Monitoring a Poisson process subject to gradual changes in the arrival rates ⋮ Monitoring a Poisson process subject to gradual changes in the arrival rates where the arrival rates are unknown ⋮ Sequential detection of gradual changes in the location of a general stochastic process

Cites Work

• Truncated sequential change-point detection based on renewal counting processes. II
• Extremes and related properties of random sequences and processes
• Testing appearance of linear trend
• Detection of changes in linear sequences
• Limit theorems for a class of tests of gradual changes
• On a test statistic for linear trend
• Monitoring changes in linear models
• On some global measures of the deviations of density function estimates
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Truncated Sequential Change‐point Detection based on Renewal Counting Processes
• Monitoring Structural Change
• Testing for changes in the mean or variance of a stochastic process under weak invariance
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