Kühn, Mario
(2007).
Sequential Change-Point Analysis Based on Weighted Moving Averages.
PhD thesis, Universität zu Köln.
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)
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Translated abstract: |
Abstract | Language |
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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 |
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Creators: |
Creators | Email | ORCID | ORCID Put Code |
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Kühn, Mario | mkuehn@math.uni-koeln.de | UNSPECIFIED | UNSPECIFIED |
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URN: |
urn:nbn:de:hbz:38-23672 |
Date: |
2007 |
Language: |
English |
Faculty: |
Faculty of Mathematics and Natural Sciences |
Divisions: |
Faculty of Mathematics and Natural Sciences > Department of Mathematics and Computer Science > Mathematical Institute |
Subjects: |
Mathematics |
Uncontrolled Keywords: |
Keywords | Language |
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Changepoint Analyse, Invarianzprinzipien, Sequentieller Test, Gewichtete Mittel, Stoppzeiten | German | Change-Point Analysis, Invariance Principles, Sequential Test, Weighted Moving Averages, Stopping Times | English |
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Date of oral exam: |
7 February 2008 |
Referee: |
Name | Academic Title |
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Steinebach, Josef | Prof. Dr. |
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Refereed: |
Yes |
URI: |
http://kups.ub.uni-koeln.de/id/eprint/2367 |
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