Change-point monitoring in linear models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F06%3A00002696" target="_blank" >RIV/00216208:11320/06:00002696 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Change-point monitoring in linear models
Original language description
We consider a linear regression model with errors modelled by marginale difference sequences, which include heteroskedastic augmented GARCH processes. We develop asymptotic theory for two monitoring schemes aimed at detecting a change in the regression parameters. The first method is based on the CUSUM of the residuals and was studied earlier in the context of independent identically distributed errors. The second method in new and is based on the square of prediction errors. Both methods have correct asymptotic size and detect a change with probability approaching unity. They are illustrated and compared in a small simulation study.
Czech name
Monitorování detekce změn v lineárních modelech
Czech description
Autoři článku rozvinuli asymptotickou teorii pro dva monitorovací schémata na detekci změny v regresních parametrech. První metoda je založena na CUSUM reziduí, druhá je nová. Obě jsou zobrazeny a porovnány v malé simulační studii.

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Publication year
2006
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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