Change-point monitoring in linear models
Abstract, both methods have correct asymptotic size and detect a change with probability approaching unity. The methods are illustrated and compared in a small simulation study. Copyright Royal Economic Society 2006
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Bibliographic InfoArticle provided by Royal Economic Society in its journal Econometrics Journal.
Volume (Year): 9 (2006)
Issue (Month): 3 (November)
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- Chen, Zhanshou & Tian, Zheng, 2010. "Modified procedures for change point monitoring in linear models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 62-75.
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- Alexander Aue & Lajos Horváth & Piotr Kokoszka & Josef Steinebach, 2008. "Monitoring shifts in mean: Asymptotic normality of stopping times," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(3), pages 515-530, November.
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