MONITORING JUMP CHANGES IN LINEAR MODELS

Authors

  • Marie Huˇskov´a
  • Alena Koubkov´a

Keywords:

Sequential change point analysis AMS Classification, 62G20, 62E20, 60F17.

Abstract

Two classes of sequential test procedures for detection of a change in linear regression
model are developed and their properties are studied when a training
set of data without any change is available. Asymptotic results are checked on
simulation study.

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Issue

Vol. 39 No. 2 (2005)

Section

Articles