Universität zu Köln

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:	Abstract Language 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:	Creators Email ORCID ORCID Put Code Kühn, Mario mkuehn@math.uni-koeln.de UNSPECIFIED UNSPECIFIED
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 Changepoint Analyse, Invarianzprinzipien, Sequentieller Test, Gewichtete Mittel, Stoppzeiten German Change-Point Analysis, Invariance Principles, Sequential Test, Weighted Moving Averages, Stopping Times English
Date of oral exam:	7 February 2008
Referee:	Name Academic Title Steinebach, Josef Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/2367