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Monitoring parameter change in time series models

open access: yes
Sequential tests that are generalizations of Page's CUSUM tests are proposed for detecting an abrupt change in any parameter, or in any collection of parameters of an autoregressive time series model. These tests accommodate nuisance parameters. They are
Gombay, Edit, Serban, Daniel
core  

Estimation of the linear mixed integrated Ornstein-Uhlenbeck model. [PDF]

open access: yesJ Stat Comput Simul, 2017
Hughes RA   +3 more
europepmc   +1 more source

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