A CUSUM type change detection test based on martingale differences
Statistics Theory
2014-07-22 v2 Statistics Theory
Abstract
The paper is about detecting changes in the parameters of certain parameterized stochastic models. We apply CUSUM (Cumulated Sums) type test statistics that are based on martingale difference sequences.
Cite
@article{arxiv.1407.4412,
title = {A CUSUM type change detection test based on martingale differences},
author = {Fanni Nedényi},
journal= {arXiv preprint arXiv:1407.4412},
year = {2014}
}
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