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Crainiceanu et al., 2007 - Google Patents

Nonmonotonic power for tests of a mean shift in a time series

Crainiceanu et al., 2007

Document ID
11989492241755322305
Author
Crainiceanu C
Vogelsang T
Publication year
Publication venue
Journal of Statistical Computation and Simulation

External Links

Snippet

The null hypothesis-based statistics CUSUM and QS are widely used for testing parameter stability. We provide examples, extensive simulation studies and theoretical results showing that these statistics fail to detect obvious shifts in the mean of a time series. Moreover, the …
Continue reading at www.tandfonline.com (other versions)

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    • G—PHYSICS
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    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F17/00—Digital computing or data processing equipment or methods, specially adapted for specific functions
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    • G06F17/21—Text processing
    • G06F17/22—Manipulating or registering by use of codes, e.g. in sequence of text characters
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    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
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    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
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