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  • Autoři článku rozvinuli asymptotickou teorii pro dva monitorovací schémata na detekci změny v regresních parametrech. První metoda je založena na CUSUM reziduí, druhá je nová. Obě jsou zobrazeny a porovnány v malé simulační studii. (cs)
  • We consider a linear regression model with errors modelled by marginale difference sequences, which include heteroskedastic augmented GARCH processes. We develop asymptotic theory for two monitoring schemes aimed at detecting a change in the regression parameters. The first method is based on the CUSUM of the residuals and was studied earlier in the context of independent identically distributed errors. The second method in new and is based on the square of prediction errors. Both methods have correct asymptotic size and detect a change with probability approaching unity. They are illustrated and compared in a small simulation study.
  • We consider a linear regression model with errors modelled by marginale difference sequences, which include heteroskedastic augmented GARCH processes. We develop asymptotic theory for two monitoring schemes aimed at detecting a change in the regression parameters. The first method is based on the CUSUM of the residuals and was studied earlier in the context of independent identically distributed errors. The second method in new and is based on the square of prediction errors. Both methods have correct asymptotic size and detect a change with probability approaching unity. They are illustrated and compared in a small simulation study. (en)
Title
  • Change-point monitoring in linear models
  • Change-point monitoring in linear models (en)
  • Monitorování detekce změn v lineárních modelech (cs)
skos:prefLabel
  • Change-point monitoring in linear models
  • Change-point monitoring in linear models (en)
  • Monitorování detekce změn v lineárních modelech (cs)
skos:notation
  • RIV/00216208:11320/06:00002696!RIV07-MSM-11320___
http://linked.open.../vavai/riv/strany
  • 373;403
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • Z(MSM0021620839)
http://linked.open...iv/cisloPeriodika
  • 9
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 468283
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/06:00002696
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Change-point; monitoring; linear; models (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • GB - Spojené království Velké Británie a Severního Irska
http://linked.open...ontrolniKodProRIV
  • [37FE24E7600E]
http://linked.open...i/riv/nazevZdroje
  • Econometrics Journal
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 2006
http://linked.open...iv/tvurceVysledku
  • Hušková, Marie
http://linked.open...n/vavai/riv/zamer
issn
  • 1368-4221
number of pages
http://localhost/t...ganizacniJednotka
  • 11320
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