Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147161 | Journal of Multivariate Analysis | 2009 | 11 Pages |
Abstract
Sequential tests that are generalizations of Page’s CUSUM tests are proposed for detecting an abrupt change in any parameter, or in any collection of parameters of an autoregressive time series model. These tests accommodate nuisance parameters. They are based on large sample approximations to the efficient score vector under the null hypothesis of no change and under the alternative. The empirical power of the tests is evaluated in a simulation study. The new method performs better than the existing ones found in the literature if the criterion is the type I error probability, which can be unacceptably high for methods that minimize the expected value of the reaction time.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Edit Gombay, Daniel Serban,