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Titel
A likelihood ratio approach to sequential change point detection / Holger Dette, Josua Gösmann
VerfasserDette, Holger ; Gösmann, Josua
ErschienenDortmund : Universitätsbibliothek Dortmund, February 21, 2018
Ausgabe
Elektronische Ressource
Umfang1 Online-Ressource (32 Seiten) : Diagramme
SerieDiscussion paper ; Nr. 2/2018
SchlagwörterChange-point-Problem / Sequenzieller Test / Likelihood-Quotienten-Test
URNurn:nbn:de:hbz:6:2-130586 
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A likelihood ratio approach to sequential change point detection [0.55 mb]
Zusammenfassung

In this paper we propose a new approach for sequential monitoring of a parameter of a d-dimensional time series. We consider a closed-end-method, which is motivated by the likelihood ratio test principle and compare the new method with two alternative procedures. We also incorporate self-normalization such that estimation of the long-run variance is not necessary. We prove that for a large class of testing problems the new detection scheme has asymptotic level and is consistent. The asymptotic theory is illustrated for the important cases of monitoring a change in the mean, variance and correlation. By means of a simulation study it is demonstrated that the new test performs better than the currently available procedures for these problems.

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