Procedures for the Detection of Multiple Changes in Series of Independent Observations

Jaromı́r Antoch · Marie Hušková

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Advanced Statistical Process Monitoring Fault Detection and Control Systems Advanced Statistical Methods and Models

Abstract

The paper concerns the problem of detection and identification of one or more change points in a series of independent observations. Procedures based on M -estimatorsand M -residuals are introduced, their limit properties studied and typical simulation results presented. 1990 Mathematics Subject Classification: 62F35, 62G10, 62F03

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1983SURVEY OF CLASSICAL AND BAYESIAN APPROACHES TO THE CHANGE-POINT PROBLEM: FIXED SAMPLE AND SEQUENTIAL PROCEDURES OF TESTING AND ESTIMATION11Research supported in part by ONR Contracts N00014-75-0725 at The George Washington University and N00014-81-K-0407 at SUNY-Binghamton.1987Rank Tests for Changepoint Problems 1989Statistical Analysis and Forecasting of Economic Structural Change 198819 Review about estimation of change points 1984Nonparametric statistical procedures for the changepoint problem 1989A u-i approach to retrospective testing for shifting parameters in a linear model 1989Nonparametric Tests for Shift and Change in Regression at an Unknown Time Point

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