Abstract
A new method for sequential detection of change-points in multivariate linear models is proposed. The main performance characteristics of this method are analyzed theoretically for finite sample volumes. Comparison with other well known methods for sequential detection of structural changes in linear models is carried out via Monte Carlo tests. Practical applications for the analysis of stability of the German quarterly model of demand for money (1961–1995) and the Russian monthly model of inflation (1994–2005) are considered.
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Schedule a callMore From: Communications in Statistics. Part C: Sequential Analysis
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