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Recursive M-tests for the constancy of multivriate regression relationships over time

 

作者: Pranab Kumar Sen,  

 

期刊: Sequential Analysis  （Taylor Available online 1984）
卷期: Volume 3, issue 3-4  

页码: 191-211

 

ISSN:0747-4946

 

年代: 1984

 

DOI:10.1080/07474948408836062

 

出版商: Marcel Dekker, Inc.

 

关键词: Asymptotic theory;change-points;CUSUM statistics;invariance principles;recursive residual M-statistics;regression parameters;sequential detection problem;stopping rules

 

数据来源: Taylor

 

摘要:

For a general rnultivariate linear model, based on a general class of recursive M-estimators of regression parameters and allied M-statistics, some testing procedures for a possible change in the regression relationships occurring at an unknown time point are considered,. The (asymptotic) theory of the proposed tests rests on some invariance principles for some recursive M-estimators and related (residual) M-statistics, and these are studied too.

 

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