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On sequential detection of parameter changes in linear regression

Author

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  • 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. 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.
    2. Lajos Horvath & Lorenzo Trapani & Shixuan Wang, 2024. "Sequential monitoring for explosive volatility regimes," Papers 2404.17885, arXiv.org.
    3. Fabrizio Ghezzi & Eduardo Rossi & Lorenzo Trapani, 2024. "Fast Online Changepoint Detection," Papers 2402.04433, arXiv.org.
    4. Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
    5. T. Górecki & Ł. Smaga, 2017. "Multivariate analysis of variance for functional data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(12), pages 2172-2189, September.
    6. Lorenzo Trapani & Emily Whitehouse, 2020. "Sequential monitoring for cointegrating regressions," Papers 2003.12182, arXiv.org.
    7. KUROZUMI, Eiji & 黒住, 英司, 2016. "Monitoring Parameter Constancy with Endogenous Regressors," Discussion Papers 2016-01, Graduate School of Economics, Hitotsubashi University.
    8. 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.

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