Geodesic
Sequential monitoring for change in scale
Kybernetika, Tome 44 (2008) no. 5, pp. 715-730

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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.
Classification : 62E20, 62J05, 62L10, 62P20, 65C60
Keywords: sequential test for change in scale 
@article{KYB_2008__44_5_a7,
     author = {Chochola, Ond\v{r}ej},
     title = {Sequential monitoring for change in scale},
     journal = {Kybernetika},
     pages = {715--730},
     publisher = {mathdoc},
     volume = {44},
     number = {5},
     year = {2008},
     mrnumber = {2479314},
     zbl = {1177.62100},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2008__44_5_a7/}
}
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Chochola, Ondřej. Sequential monitoring for change in scale. Kybernetika, Tome 44 (2008) no. 5, pp. 715-730. http://geodesic.mathdoc.fr/item/KYB_2008__44_5_a7/