On the performance of the fluctuation test for structural change

Sequential Analysis

Volumn 27, Issue 2, 2008, Pages 126-140

  Horváth, Lajos ^a   Kühn, Mario ^b   Steinebach, Josef ^b  

^a UNIVERSITY OF UTAH   (United States)

^b UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Approximate critical value; Fluctuation test; Heavy tail; Low moment; Monitoring procedure; Sequential change point test; Stopping time; Structural break

Indexed keywords

CRITICAL VALUE; HEAVY-TAILS; SEQUENTIAL CHANGES; STOPPING TIME; STRUCTURAL BREAK;

STABILITY;

TESTING;

EID: 46049112429     PISSN: 07474946     EISSN: 15324176     Source Type: Journal    
DOI: 10.1080/07474940801989087     Document Type: Conference Paper

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