On sequential detection of parameter changes in linear regression
Horvath et al. [2004. Monitoring changes in linear models. J. Statist. Plann. Inference 126, 225-251] developed a family of monitoring procedures to detect a change in the parameters of a linear regression model. These procedures, which are akin to the schemes proposed by Chu et al. [1996. Monitoring structural change. Econometrica 64, 1045-1065], depend on a parameter . If [gamma] is close to , the detection delay is small, so it is desirable to consider the case , but an extension is not obvious. We show that it can be developed by establishing a Darling-Erdös type limit theorem.
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Volume (Year): 77 (2007)
Issue (Month): 9 (May)
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- 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.
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