Extreme value distribution of a recursive-type detector in a linear model |
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Authors: | Alexander Aue Mario Kühn |
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Institution: | 1.Department of Mathematical Sciences,Clemson University,Clemson,USA;2.Mathematisches Institut,Universit?t zu K?ln,K?ln,Germany |
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Abstract: | We study a CUSUM–type monitoring scheme designed to sequentially detect changes in the regression parameter of an underlying
linear model. The test statistic used is based on recursive residuals. Main aim of this paper is to derive the limiting extreme
value distribution under the null hypothesis of structural stability. The model assumptions are flexible enough to include
rather general classes of error sequences such as augmented GARCH(1,1) processes. The result is underlined by an illustrative
simulation study.
Research partially supported by NSF grants DMS–0604670 and DMS–065242. |
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Keywords: | Augmented GARCH processes Darling– Erdő s limit theorems Linear models Recursive residuals Sequential testing |
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