A new approach for open-end sequential change point monitoring
Loading...
Date
2019
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
We propose a new sequential monitoring scheme for changes in the parameters of
a multivariate time series. In contrast to procedures proposed in the literature which
compare an estimator from the training sample with an estimator calculated from the
remaining data, we suggest to divide the sample at each time point after the training
sample. Estimators from the sample before and after all separation points are then
continuously compared calculating a maximum of norms of their differences. For openend
scenarios our approach yields an asymptotic level a procedure, which is consistent
under the alternative of a change in the parameter.
Description
Table of contents
Keywords
change point analysis, sequential monitoring, open-end procedures