A new approach for open-end sequential change point monitoring

dc.contributor.author	Gösmann, Josua
dc.contributor.author	Kley, Tobias
dc.contributor.author	Dette, Holger
dc.date.accessioned	2019-06-06T11:30:05Z
dc.date.available	2019-06-06T11:30:05Z
dc.date.issued	2019
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/38081
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-20063
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB823;11/2019
dc.subject	change point analysis	en
dc.subject	sequential monitoring	en
dc.subject	open-end procedures	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.subject.rswk	Zeitreihenanalyse	de
dc.subject.rswk	Change-point-Problem	de
dc.subject.rswk	Sequenzieller Test	de
dc.title	A new approach for open-end sequential change point monitoring	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.secondarypublication	false	de

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