A less sensitive linear detector for the change point based on kernel smoothing method
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DOI: 10.1007/BF02613896
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References listed on IDEAS
- David McDonald, 1990. "A cusum procedure based on sequential ranks," Naval Research Logistics (NRL), John Wiley & Sons, vol. 37(5), pages 627-646, October.
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Cited by:
- Steland Ansgar, 2003. "Jump-preserving monitoring of dependent time series using pilot estimators," Statistics & Risk Modeling, De Gruyter, vol. 21(4), pages 343-366, April.
- Ansgar Steland, 2002. "Nonparametric monitoring of financial time series by jump-preserving control charts," Statistical Papers, Springer, vol. 43(3), pages 401-422, July.
- Steland, Ansgar, 2003. "Jump-preserving monitoring of dependent time series using pilot estimators," Technical Reports 2004,03, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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Keywords
Average delay time; CUSUM procedure; EWMA procedure; Shiryayev-Roberts procedure; Efficiency;All these keywords.
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