Change detection for uncertain autoregressive dynamic models through nonparametric estimation

DOI10.1016/j.stamet.2016.08.003zbMath1487.62096OpenAlexW2512180418MaRDI QIDQ670171

Jean-Pierre Vila, Ghislain Verdier, Nadine Hilgert

Publication date: 18 March 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2016.08.003

zbMATH Keywords

nonparametric estimationCUSUM rulelearning sample updatingmodel change detection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (1)

An empirical likelihood-based CUSUM for on-line model change detection

Cites Work

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