Change-point monitoring in linear models

Alexander Aue, Lajos Horvath, Marie Hušková and Piotr Kokoszka

Econometrics Journal, 2006, vol. 9, issue 3, 373-403

Abstract: , both methods have correct asymptotic size and detect a change with probability approaching unity. The methods are illustrated and compared in a small simulation study. Copyright Royal Economic Society 2006

Date: 2006
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