Kühn, Mario (2007). Sequential Change-Point Analysis Based on Weighted Moving Averages. PhD thesis, Universität zu Köln.

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Abstract

Ziel der sequentiellen Change-Point Analyse ist es, geeignete Methoden zum Auffinden struktureller Brüche in stochastischen Prozessen bereitzustellen. Diese Arbeit befasst sich mit nicht-parametrischen Verfahren auf der Basis gewichteter, gleitender Durchschnitte. Es werden bekannte Prozeduren diskutiert und neue Testverfahren vorgestellt. Die Hauptresultate dieser Arbeit, der PWMA-Test (polynomially weighted moving average) und der FWMA-Test (fractionally weighted moving average), sind Erweiterungen des CUSUM-Tests. Weiterhin werden in dieser Dissertation die Grenzverteilungen der bedingten Stoppzeiten des MOSUM-Tests bestimmt und zur Konstruktion asymptotischer Konfidenzintervalle für den Zeitpunkt eines Strukturbruches eingesetzt.

Item Type: Thesis (PhD thesis)
Translated abstract:
AbstractLanguage
The aim of sequential change-point analysis is to provide adequate methods for detecting structural breaks in stochastic processes. This work is concerned with non-parametric procedures, which are based on weighted moving averages. We discuss known control-charts and also introduce new procedures. The main results of this work, namely the PWMA-Test (polynomially weighted moving average) and the FWMA-Test (fractionally weighted moving average), are generalizations of the CUSUM-Test. Furthermore, we derive the limiting distributions of the conditional stopping-times for the MOSUM-Test. The latter result is utilized to provide asymptotic confidence intervals for the location of a change-point. German
Creators:
CreatorsEmailORCID
Kühn, Mariomkuehn@math.uni-koeln.deUNSPECIFIED
URN: urn:nbn:de:hbz:38-23672
Subjects: Mathematics
Uncontrolled Keywords:
KeywordsLanguage
Changepoint Analyse, Invarianzprinzipien, Sequentieller Test, Gewichtete Mittel, StoppzeitenGerman
Change-Point Analysis, Invariance Principles, Sequential Test, Weighted Moving Averages, Stopping TimesEnglish
Faculty: Faculty of Mathematics and Natural Sciences
Divisions: Faculty of Mathematics and Natural Sciences > Mathematical Institute
Language: English
Date: 2007
Date of oral exam: 7 February 2008
Referee:
NameAcademic Title
Steinebach, JosefProf. Dr.
Full Text Status: Public
Date Deposited: 07 Jul 2008 09:12
URI: http://kups.ub.uni-koeln.de/id/eprint/2367

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