Sequential monitoring for change in scale
Kybernetika (2008)
- Volume: 44, Issue: 5, page 715-730
- ISSN: 0023-5954
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topChochola, Ondřej. "Sequential monitoring for change in scale." Kybernetika 44.5 (2008): 715-730. <http://eudml.org/doc/33959>.
@article{Chochola2008,
abstract = {We propose a sequential monitoring scheme for detecting a change in scale. We consider a stable historical period of length $m$. The goal is to propose a test with asymptotically small probability of false alarm and power 1 as the length of the historical period tends to infinity. The asymptotic distribution under the null hypothesis and consistency under the alternative hypothesis is derived. A small simulation study illustrates the finite sample performance of the monitoring scheme.},
author = {Chochola, Ondřej},
journal = {Kybernetika},
keywords = {sequential test for change in scale},
language = {eng},
number = {5},
pages = {715-730},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Sequential monitoring for change in scale},
url = {http://eudml.org/doc/33959},
volume = {44},
year = {2008},
}
TY - JOUR
AU - Chochola, Ondřej
TI - Sequential monitoring for change in scale
JO - Kybernetika
PY - 2008
PB - Institute of Information Theory and Automation AS CR
VL - 44
IS - 5
SP - 715
EP - 730
AB - We propose a sequential monitoring scheme for detecting a change in scale. We consider a stable historical period of length $m$. The goal is to propose a test with asymptotically small probability of false alarm and power 1 as the length of the historical period tends to infinity. The asymptotic distribution under the null hypothesis and consistency under the alternative hypothesis is derived. A small simulation study illustrates the finite sample performance of the monitoring scheme.
LA - eng
KW - sequential test for change in scale
UR - http://eudml.org/doc/33959
ER -
References
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