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On sequential detection of parameter changes in linear regression

Author

Listed:
  • Horváth, Lajos
  • Kokoszka, Piotr
  • Steinebach, Josef

Abstract

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.

Suggested Citation

  • Horváth, Lajos & Kokoszka, Piotr & Steinebach, Josef, 2007. "On sequential detection of parameter changes in linear regression," Statistics & Probability Letters, Elsevier, vol. 77(9), pages 885-895, May.
  • Handle: RePEc:eee:stapro:v:77:y:2007:i:9:p:885-895
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    References listed on IDEAS

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    1. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-1065, September.
    2. 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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    Cited by:

    1. 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.
    2. Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org, revised Mar 2018.
    3. KUROZUMI, Eiji, 2016. "Monitoring Parameter Constancy with Endogenous Regressors," Discussion Papers 2016-01, Graduate School of Economics, Hitotsubashi University.
    4. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.

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