The search session has expired. Please query the service again.

The search session has expired. Please query the service again.

Displaying similar documents to “Sequential likelihood ratio tests”

Change point detection in vector autoregression

Zuzana Prášková (2018)

Kybernetika

Similarity:

In the paper a sequential monitoring scheme is proposed to detect instability of parameters in a multivariate autoregressive process. The proposed monitoring procedure is based on the quasi-likelihood scores and the quasi-maximum likelihood estimators of the respective parameters computed from a training sample, and it is designed so that the sequential test has a small probability of a false alarm and asymptotic power one as the size of the training sample is sufficiently large. The...