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Description
  • Bootstrap methods for sequential change-point detection procedures in linear regression models are proposed. The corresponding monitoring procedures are designed to control the overall significance level. The bootstrap critical values are updated constantly by including new observations obtained from the monitoring. The theoretical properties of these sequential bootstrap procedures are investigated, showing their asymptotic validity. Bootstrap and asymptotic methods are compared in a simulation study, showing that the studentized bootstrap tests hold the overall level better especially for small historic sample sizes while having a comparable power and run length.
  • Bootstrap methods for sequential change-point detection procedures in linear regression models are proposed. The corresponding monitoring procedures are designed to control the overall significance level. The bootstrap critical values are updated constantly by including new observations obtained from the monitoring. The theoretical properties of these sequential bootstrap procedures are investigated, showing their asymptotic validity. Bootstrap and asymptotic methods are compared in a simulation study, showing that the studentized bootstrap tests hold the overall level better especially for small historic sample sizes while having a comparable power and run length. (en)
Title
  • Bootstrapping sequential change-point tests for linear regression
  • Bootstrapping sequential change-point tests for linear regression (en)
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  • Bootstrapping sequential change-point tests for linear regression
  • Bootstrapping sequential change-point tests for linear regression (en)
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  • RIV/00216208:11320/12:10125079!RIV13-GA0-11320___
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  • 125387
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  • RIV/00216208:11320/12:10125079
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  • Linear regression; Change-point analysis; Sequential test; Bootstrap; MODELS (en)
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  • DE - Spolková republika Německo
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  • 75
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  • Hušková, Marie
  • Kirch, Claudia
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  • 000305400800005
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  • 0026-1335
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  • 10.1007/s00184-011-0347-7
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  • 11320
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