Detecting change in a random sequence

We propose a sequential procedure for detecting a possible changepoint in a random sequence of observations so that we can fix the probabilty of stopping at any level if there is no change, while otherwise we will stop with probabilty one in a specified length of time.

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Year of publication:	1987
Authors:	CsoÂ¨rgo, MikloÂ´s ; HorvaÂ´th, Lajos
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 23.1987, 1, p. 119-130
Publisher:	Elsevier
Keywords:	changepoint problem strong approximations sequential ranks Kiefer process boundary crossing problems

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221412