Timmermann, Hella (2015). Sequential detection of gradual changes in the location of a general stochastic process. Stat. Probab. Lett., 99. S. 85 - 94. AMSTERDAM: ELSEVIER. ISSN 1879-2103

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We present monitoring procedures for a class of general stochastic processes which exhibit a possible gradually increasing or decreasing perturbation in their otherwise linear drift term. The suggested detectors are based on weighted increments of the process for which we derive asymptotic critical values and under the alternative consistency and asymptotic normality of the stopping times. (C) 2015 Elsevier B.V. All rights reserved.

Item Type: Journal Article
CreatorsEmailORCIDORCID Put Code
URN: urn:nbn:de:hbz:38-403505
DOI: 10.1016/j.spl.2015.01.001
Journal or Publication Title: Stat. Probab. Lett.
Volume: 99
Page Range: S. 85 - 94
Date: 2015
Publisher: ELSEVIER
Place of Publication: AMSTERDAM
ISSN: 1879-2103
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
Statistics & ProbabilityMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/40350


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