Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149273 | Journal of Statistical Planning and Inference | 2011 | 18 Pages |
Abstract
In this paper, some sequential monitoring procedures are constructed and analyzed for detecting a “gradual” change in the drift parameter of a general stochastic process satisfying a certain (weak) invariance principle. It is shown that the tests can be constructed such that the “false alarm rate” attains a prescribed level (say) α and that the tests have “asymptotic power 1”. A more precise analysis of the procedures under the alternative proves that the stopping times, suitably normalized, have a standard normal limiting distribution. A few results from a small simulation study are also presented in order to give an idea of the finite sample behaviour of the suggested procedures.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Josef G. Steinebach, Hella Timmermann,