期刊
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
卷 38, 期 11, 页码 1927-1947出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/03610920802549910
关键词
CUSUM; Generalized linear model; MOSUM; Structural changes; Weighted residuals
资金
- National Natural Science Funds [50846021]
- Shannxi Science Development Funds [2002K08-G15]
- NWU Graduate Cross-discipline Funds [07YJC02]
In this article, we introduce two monitoring schemes to (sequentially) detect structural changes in generalized linear models and develop asymptotic theories for them. The first method is based on cumulative sums (CUSUM) of weighted residuals, in which the unknown in-control parameters have been replaced by its maximum likelihood (ML) estimate from the training sample, whereas the second scheme makes use of moving sums (MOSUM) of weighted residuals. We characterize the limit distribution of the test statistic and show that these tests are consistent. Moreover, we also obtain and tabulate the asymptotic critical values of the tests. Finally, we study the speed of detection under different conditions. The methods are illustrated and compared in several simulations.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据