摘要
The paper investigates the sequential observations’ variance change in linear regression model. The procedure is based on a detection function constructed by residual squares of CUSUM and a boundary function which is designed so that the test has a small probability of false alarm and asymptotic power one. Simulation results show our monitoring procedure performs well when variance change occurs shortly after the monitoring time. The method is still feasible for regression coefficients change or both variance and regression coefficients change problem.
The paper investigates the sequential observations’ variance change in linear regression model. The procedure is based on a detection function constructed by residual squares of CUSUM and a boundary function which is designed so that the test has a small probability of false alarm and asymptotic power one. Simulation results show our monitoring procedure performs well when variance change occurs shortly after the monitoring time. The method is still feasible for regression coefficients change or both variance and regression coefficients change problem.
基金
Supported by the National Natural Science Foundation of China (Grant Nos.60972150
10926197)
the Scienceand Technology Innovation Foundation of Northwestern Polytechnical University (Grant No.2007KJ01033)
