Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series

Abstract

Sequential tests and sequential procedures to detect change in the mean or the covariance structure of a linear process are defined. The new tests fix the probability of Type 1 error, and stop after a maximal sample size is reached. They extend methods defined under more restrictive assumptions.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 10 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.