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Monitoring shifts in mean: Asymptotic normality of stopping times

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Author Info

  • Alexander Aue
  • Lajos Horváth
  • Piotr Kokoszka

    ()

  • Josef Steinebach

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File URL: http://hdl.handle.net/10.1007/s11749-006-0041-7
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Bibliographic Info

Article provided by Springer in its journal TEST.

Volume (Year): 17 (2008)
Issue (Month): 3 (November)
Pages: 515-530

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Handle: RePEc:spr:testjl:v:17:y:2008:i:3:p:515-530

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Web page: http://www.springerlink.com/link.asp?id=120411

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Related research

Keywords: Asymptotic normality; Change in the mean; CUSUM; Sequential detection; 62L15; 62E20;

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  1. Leisch, Friedrich & Hornik, Kurt & Kuan, Chung-Ming, 2000. "Monitoring Structural Changes With The Generalized Fluctuation Test," Econometric Theory, Cambridge University Press, vol. 16(06), pages 835-854, December.
  2. Alexander Aue & Lajos Horv�th & Marie Hušková & Piotr Kokoszka, 2006. "Change-point monitoring in linear models," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 373-403, November.
  3. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
  4. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February.
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