Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series

Edit Gombay and Lajos Horvath

Communications in Statistics - Theory and Methods, 2009, vol. 38, issue 16-17, 2872-2883

Abstract: Sequential tests and sequential procedures to detect change in the mean or the covariance structure of a linear process are defined. The new tests fix the probability of Type 1 error, and stop after a maximal sample size is reached. They extend methods defined under more restrictive assumptions.

Date: 2009
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DOI: 10.1080/03610920902947204

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