Sequential detection of gradual changes in the location of a general stochastic process

We present monitoring procedures for a class of general stochastic processes which exhibit a possible gradually increasing or decreasing perturbation in their otherwise linear drift term. The suggested detectors are based on weighted increments of the process for which we derive asymptotic critical values and under the alternative consistency and asymptotic normality of the stopping times.

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Year of publication:	2015
Authors:	Timmermann, Hella
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 99.2015, C, p. 85-93
Publisher:	Elsevier
Subject:	Change point analysis \| Sequential testing procedures \| Gradual changes

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

Persistent link: https://www.econbiz.de/10011208311