Kybernetika 44 no. 5, 715-730, 2008

Sequential monitoring for change in scale

Ondřej Chochola

Abstract:

We propose a sequential monitoring scheme for detecting a change in scale. We consider a stable historical period of length $m$. The goal is to propose a test with asymptotically small probability of false alarm and power 1 as the length of the historical period tends to infinity. The asymptotic distribution under the null hypothesis and consistency under the alternative hypothesis is derived. A small simulation study illustrates the finite sample performance of the monitoring scheme.