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Monitoring shifts in mean: Asymptotic normality of stopping times


  • Alexander Aue
  • Lajos Horváth
  • Piotr Kokoszka


  • Josef Steinebach


No abstract is available for this item.

Suggested Citation

  • Alexander Aue & Lajos Horváth & Piotr Kokoszka & Josef Steinebach, 2008. "Monitoring shifts in mean: Asymptotic normality of stopping times," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(3), pages 515-530, November.
  • Handle: RePEc:spr:testjl:v:17:y:2008:i:3:p:515-530 DOI: 10.1007/s11749-006-0041-7

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    References listed on IDEAS

    1. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
    2. Alexander Aue & Lajos Horváth & Marie Hušková & Piotr Kokoszka, 2006. "Change-point monitoring in linear models," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 373-403, November.
    3. 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.
    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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    Cited by:

    1. KUROZUMI, Eiji, 2016. "Monitoring Parameter Constancy with Endogenous Regressors," Discussion Papers 2016-01, Graduate School of Economics, Hitotsubashi University.
    2. repec:bla:jtsera:v:38:y:2017:i:5:p:791-805 is not listed on IDEAS

    More about this item


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

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