Sequential detection of gradual changes in the location of a general stochastic process

Hella Timmermann

Statistics & Probability Letters, 2015, vol. 99, issue C, 85-93

Abstract: We present monitoring procedures for a class of general stochastic processes which exhibit a possible gradually increasing or decreasing perturbation in their otherwise linear drift term. The suggested detectors are based on weighted increments of the process for which we derive asymptotic critical values and under the alternative consistency and asymptotic normality of the stopping times.

Keywords: Change point analysis; Sequential testing procedures; Gradual changes (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.01.001

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