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The effect of autocorrelated errors on change-detection statistics

✍ Scribed by S. M. Tang; I. B. Macneill

Book ID
104754167
Publisher
Springer
Year
1989
Tongue
English
Weight
677 KB
Volume
13
Category
Article
ISSN
0167-6369

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✦ Synopsis

In this paper, regression models with error terms generated by lower order ARMA schemes are analyzed. Methods are discussed for estimating the parameters of the regression coefficients and the ARMA processes. The problem of detecting changes in the regression parameters is considered. A change-detection statistic proposed by MacNeill (1978) for regression problems is modified for application to ARMA processes. The effect of autocorrelated errors on this statistic is briefly discussed. This is the same limit processes as in linear regression with iid errors (MacNeill,

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Quite a number of test statistics and estimators for detection of a change in the mean of a series of independent observations were proposed and studied. The purpose of this paper is to examine the behaviour of these statistics if the observations are dependent, particularly, if they form a linear p