Minimax Optimality of CUSUM for an Autoregressive Model
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- Sven Knoth & Marianne Frisén, 2012. "Minimax optimality of CUSUM for an autoregressive model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 66(4), pages 357-379, November.
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- Liubov Rabyk & Wolfgang Schmid, 2016. "EWMA control charts for detecting changes in the mean of a long-memory process," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(3), pages 267-301, April.
- Robert Garthoff & Iryna Okhrin & Wolfgang Schmid, 2014. "Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(3), pages 225-255, July.
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KeywordsAutoregressive; Change point; Monitoring; Online detection;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
- NEP-ECM-2011-03-05 (Econometrics)
- NEP-ETS-2011-03-05 (Econometric Time Series)
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