Monitoring changes in linear models

Monitoring correlation change in a sequence of random variables

“…However, once there occurs a change point, it is very important to quickly detect it. Therefore, we consider a kind of generalization of this threshold function, previously considered in Horváth et al (2004), which is given by:…”

“…In particular, we analyze the case of changes in the correlation structure of a sequence of random variables. Other papers analyzing related problems under this framework are Chu et al (1996), Horváth et al (2004), Aue et al (2006), Aue et al (2009) and Aue et al (2011), among others.…”

Dependent functional linear models with applications to monitoring structural change

“…Examples of threshold functions can be found in Chu, Stinchcombe, and White (1996), Horváth et al (2004) and Aue, Horváth, and Reimherr (2009b), among others. We have the limit behavior of both the open-end and the closedend procedures under the null hypothesis.…”

Monitoring multivariate variance changes

“…Their approach was refined and further investigated by Horváth et al (2004), Aue et al (2006) and Aue et al (2009a), among others. Groen 2 et al (2013) expanded the approach to the multivariate case.…”