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Monitoring shifts in mean: Asymptotic normality of stopping times

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  • Alexander Aue
  • Lajos Horváth
  • Piotr Kokoszka
  • Josef Steinebach

Abstract

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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

    as
    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(6), 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(1), pages 17-39, February.
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    Cited by:

    1. Fabrizio Ghezzi & Eduardo Rossi & Lorenzo Trapani, 2024. "Fast Online Changepoint Detection," Papers 2402.04433, arXiv.org.
    2. Lajos Horvath & Lorenzo Trapani & Shixuan Wang, 2024. "Sequential monitoring for explosive volatility regimes," Papers 2404.17885, arXiv.org.
    3. KUROZUMI, Eiji & 黒住, 英司, 2016. "Monitoring Parameter Constancy with Endogenous Regressors," Discussion Papers 2016-01, Graduate School of Economics, Hitotsubashi University.
    4. Pierre Perron & Eduardo Zorita & Eiji Kurozumi, 2017. "Monitoring Parameter Constancy with Endogenous Regressors," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 791-805, September.
    5. Lajos Horv'ath & Lorenzo Trapani, 2023. "Real-time monitoring with RCA models," Papers 2312.11710, arXiv.org.

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