2 papers
math.ST2019
A new approach for open-end sequential change point monitoring
Josua Gösmann, Tobias Kley, Holger Dette
We propose a new sequential monitoring scheme for changes in the parameters of a multivariate time series. In contrast to procedures proposed in the literature which compare an est…
math.ST2018
A likelihood ratio approach to sequential change point detection for a general class of parameters
Holger Dette, Josua Gösmann
In this paper we propose a new approach for sequential monitoring of a parameter of a -dimensional time series, which can be estimated by approximately linear functionals of the…