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  • Search: subject:"change-point detection,local power"
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Subject
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Estimation theory 1 Schätztheorie 1 Statistical theory 1 Statistische Methodenlehre 1 Time series analysis 1 Zeitreihenanalyse 1 change-point detection,local power 1 local delay 1 recursive residuals 1 sequential tests 1 structural breaks 1
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Free 1
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Book / Working Paper 1
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Conference paper 1 Graue Literatur 1 Konferenzbeitrag 1 Non-commercial literature 1
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English 1
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Breitung, Jörg 1 Otto, Sven 1
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ECONIS (ZBW) 1
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Backward CUSUM for testing and monitoring structural change
Otto, Sven; Breitung, Jörg - 2020
It is well known that the conventional CUSUM test suffers from low power and large detection delay. We therefore propose two alternative detector statistics. The backward CUSUM detector sequentially cumulates the recursive residuals in reverse chronological order, whereas the stacked backward...
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