1. On sequential monitoring for change in scale
- Creator:
- Chochola, Ondřej
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- sequential test for change in scale
- Language:
- English
- Description:
- We propose a sequential monitoring scheme for detecting a change in scale. We consider a stable historical period of length m. The goal is to propose a test with asymptotically small probability of false alarm and power 1 as the length of the historical period tends to infinity. The asymptotic distribution under the null hypothesis and consistency under the alternative hypothesis is derived. A small simulation study illustrates the finite sample performance of the monitoring scheme.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public