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

[thumbnail of Dissertation_Mario_Kuehn.pdf]
Preview
 PDF
Dissertation_Mario_Kuehn.pdf
Download (681kB)

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

Downloads

Downloads per month over past year

Export

Actions (login required)

View Item View Item