Sequential detection of change-points in linear models

被引：0
|
作者：
Brodsky, Boris [1 ]
机构：
[1] Department of Statistics and Econometrics, CEMI RAS, Nakhimovskiy Prospect, 47, Moscow 117149, Russia
来源：
Sequential Analysis | 2009年 / 28卷 / 02期
关键词：
Change-points - Linear modeling - Monte Carlo tests - Performance measure - Sequential detection;
D O I：
10.1080/07474940902816924
中图分类号：
学科分类号：
摘要：
A new method for sequential detection of change-points in multivariate linear models is proposed. The main performance characteristics of this method are analyzed theoretically for finite sample volumes. Comparison with other well known methods for sequential detection of structural changes in linear models is carried out via Monte Carlo tests. Practical applications for the analysis of stability of the German quarterly model of demand for money (1961-1995) and the Russian monthly model of inflation (1994-2005) are considered. © Taylor & Francis Group, LLC.
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页码：281 / 308
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