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Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series

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  • Edit Gombay
  • Lajos Horváth

Abstract

Sequential tests and sequential procedures to detect change in the mean or the covariance structure of a linear process are defined. The new tests fix the probability of Type 1 error, and stop after a maximal sample size is reached. They extend methods defined under more restrictive assumptions.

Suggested Citation

  • Edit Gombay & Lajos Horváth, 2009. "Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 38(16-17), pages 2872-2883, October.
    • Handle: RePEc:taf:lstaxx:v:38:y:2009:i:16-17:p:2872-2883
    DOI: 10.1080/03610920902947204
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