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On sequential detection of parameter changes in linear regression

Lajos Horvath, Piotr Kokoszka and Josef Steinebach

Statistics & Probability Letters, 2007, vol. 77, issue 9, 885-895

Abstract: Horvath et al. [2004. Monitoring changes in linear models. J. Statist. Plann. Inference 126, 225-251] developed a family of monitoring procedures to detect a change in the parameters of a linear regression model. These procedures, which are akin to the schemes proposed by Chu et al. [1996. Monitoring structural change. Econometrica 64, 1045-1065], depend on a parameter . If [gamma] is close to , the detection delay is small, so it is desirable to consider the case , but an extension is not obvious. We show that it can be developed by establishing a Darling-Erdös type limit theorem.

Keywords: Darling-Erdös; limit; theorem; Linear; regression; model; Sequential; monitoring (search for similar items in EconPapers)
Date: 2007
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