Strong approximation for RCA(1) time series with applications
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References listed on IDEAS
- Lajos Horváth, 1997. "Detection of Changes in Linear Sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(2), pages 271-283, June.
- Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-1065, September.
- Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Mihalache, Stefan, 2012. "Strong approximations and sequential change-point analysis for diffusion processes," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 464-472.
- Joanna Górka, 2008. "Description of the Kurtosis of Distributions by Selected Models with Sign Function," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 119-128.
- Joanna Górka, 2009. "Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 9, pages 39-50.
More about this item
KeywordsRCA time series Strong invariance principles CUSUM test Sequential procedure a posteriori tests;
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