Reaction times of monitoring schemes for ARMA time series

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dc.contributor.authorAue, Alexander
dc.contributor.authorDienes, Christopher
dc.contributor.authorFremdt, Stefan
dc.contributor.authorSteinebach, Josef G.
dc.date.accessioned2013-12-16T13:06:29Z
dc.date.available2013-12-16T13:06:29Z
dc.date.issued2013-12-16
dc.description.abstractThis paper is concerned with deriving the limit distributions of stopping times devised to sequentially uncover structural breaks in the parameters of an autoregressive moving average, ARMA, time series. The stopping rules are defined as the first time lag for which detectors, based on CUSUMs and Page's CUSUMs for residuals, exceed the value of a prescribed threshold function. It is shown that the limit distributions crucially depend on a drift term induced by the underlying ARMA parameters. The precise form of the asymptotic is determined by an interplay between the location of the break point and the size of the change implied by the drift. The theoretical results are accompanied by a simulation study and applications to electroencephalography, EEG, and IBM data. The empirical results indicate a satisfactory behavior in finite samples.en
dc.identifier.urihttp://hdl.handle.net/2003/31548
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-11769
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;49/2013
dc.subjectCUSUM statisticen
dc.subjectstructural break detectionen
dc.subjectPage's CUSUMen
dc.subjectOnline monitoringen
dc.subjectOne-step ahead predictorsen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleReaction times of monitoring schemes for ARMA time seriesen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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Sonderforschungsbereich (SFB) 823