Delay time in sequential detection of change

By Alexander Aue, Lajos Horv'ath. 2004

80 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/789e6931f88625f05229fe7bebe25e1dc7dc81bd

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In Statistics and Probability

Citations in the corpus

Structural breaks in time series (2013, background): “Starting with Aue and Horváth (2004), there have been a number of contributions deriving the limit distribution of the stopping time sn under the alternative of a structural break, see for example Aue et al. (2008, 2009).”
Strong approximation for the sums of squares of augmented GARCH sequences (2006, background): “In addition, strong approximations can also be used to develope sequential monitoring procedures (see Berkes et al. (2004; Aue and Horváth 2004; Aue et al. 2005; and Horváth et al. (2006).”
Extensions of some classical methods in change point analysis (2014, methodology): “The limit distribution of τm was studied in Aue and Horváth (2004) and Aue et al. (2008b) under the alternative in the special case of a change in the location (i.”
Delay times of sequential procedures for multiple time series regression models (2009, methodology): “It follows from Lemma 3.4 of Aue and Horváth (2004) that, asm→∞, max k∗≤k≤N σ |Wm(k)| √ m(k/m)γ = OP (( N m )1/2−γ) = OP (( N m )1/2−γ √Nδm √ Nδm ) = oP ( mγ−1/2δmN1−γ ) where we applied Lemma 7.1(iii).”
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011, methodology): “This nontrivial task has been carried out, however, for simpler models in Aue and Horváth (2004), Aue, Horváth, Hušková, and Kokoszka (2006a), Aue, Horváth, Kokoszka, and Steinebach (2006b), Aue, Horváth, and Reimherr (2009), and Černiková, Hušková, Prásková, and Steinebach (2011).”
DEPENDENT FUNCTIONAL LINEAR MODELS WITH APPLICATIONS TO MONITORING STRUCTURAL CHANGE (2014, unknown): “It would also be of interest to derive a theoretical result on the delay time of the detector as was done in Aue and Horváth (2004) for a simple change in location model, and in Aue, Horváth, and Reimherr (2009b) for more complex time series regressions.”