Displaying similar documents to “Sequential likelihood ratio tests”

Change point detection in vector autoregression

Zuzana Prášková (2018)

Kybernetika

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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...