Han, Dong; Tsung, Fugee; Li, Yanting; Xian, Jinguo - In: Journal of Applied Statistics 37 (2010) 7, pp. 1089-1111
Quick detection of unanticipated changes in a financial sequence is a critical problem for practitioners in the finance industry. Based on refined logarithmic moment estimators for the four parameters of a stable distribution, this article presents a stable-distribution-based multi-CUSUM chart...