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Sequential Monitoring Variance Changes in Location Model

Author

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  • Peiyan Qi
  • Zheng Tian
  • Xifa Duan

Abstract

In this paper, a moving monitoring procedure is proposed to detect potential variance change of the location model with dependent errors. The procedure is motivated by the problem that the existing square CUSUM test is insensitive to a late variance change of the location model. The asymptotic distribution of the statistics under the null hypothesis and the consistency under the alternative hypothesis are derived. Simulations show that our monitoring procedure compared to the square CUSUM test offers better power and can more quickly detect change. Moreover, the effectiveness of our procedure is illustrated by applying it to two data sets.

Suggested Citation

  • Peiyan Qi & Zheng Tian & Xifa Duan, 2015. "Sequential Monitoring Variance Changes in Location Model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 44(24), pages 5267-5284, December.
    • Handle: RePEc:taf:lstaxx:v:44:y:2015:i:24:p:5267-5284
    DOI: 10.1080/03610926.2013.815777
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