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Journal of the American Statistical Association Volume 72, 1977 - Issue 359
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Theory and Method

Sequential Procedures for Detecting Parameter Changes in a Time-Series Model

Michael Bagshaw Federal Reserve Bank of Cleveland
&
Richard A. Johnson Department of Statistics, University of Wisconsin, Madison, WI, 53706, USA
Pages 593-597 | Received 01 Sep 1975, Published online: 05 Apr 2012

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Abdul Haq, Mehwish Naz & Michael B. C. Khoo. (2024) Single and dual reference-free CUSCORE charts for detecting unknown patterned mean shifts. Journal of Statistical Computation and Simulation 94:3, pages 484-498.
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Baisuo Jin, Mong-Na Lo Huang & Baiqi Miao. (2011) Testing for variance changes in autoregressive models with unknown order. Journal of Applied Statistics 38:5, pages 927-936.
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Edit Gombay & Lajos Horváth. (2009) Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series. Communications in Statistics - Theory and Methods 38:16-17, pages 2872-2883.
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Xia Pan. (2006) A Simple Method Using CuScore to Monitor Changes in ARMA Coefficients. Communications in Statistics - Simulation and Computation 35:2, pages 515-530.
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H. Brian Hwarng . (2005) Simultaneous identification of mean shift and correlation change in AR(1) processes. International Journal of Production Research 43:9, pages 1761-1783.
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Lianjie Shu & Fugee Tsung. (2003) ON MULTISTAGE STATISTICAL PROCESS CONTROL. Journal of the Chinese Institute of Industrial Engineers 20:1, pages 1-8.
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JOHNR. ENGLISH, SEN-CHIN LEE, TERRYW. MARTIN & CHUCK TILMON. (2000) Detecting changes in autoregressive processes with X¯and EWMA charts. IIE Transactions 32:12, pages 1103-1113.
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George Box & Tim Kramer. (1992) Statistical Process Monitoring and Feedback Adjustment—A Discussion. Technometrics 34:3, pages 251-267.
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T. SASTRI$suffix/text()$suffix/text(). (1988) An Adaptive Estimation Algorithm. IIE Transactions 20:2, pages 176-185.
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David Nawrocki. (1984) Adaptive trading rules and dynamic market disequilibrium. Applied Economics 16:1, pages 1-14.
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D L. Hawkins. (1984) Sequential procedures for detecting deviations in the parameters of the autoregressive model from specified targets. Sequential Analysis 3:2, pages 121-154.
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WilliamW. Davis. (1979) Robust Methods for Detection of Shifts of the Innovation Variance of a Time Series. Technometrics 21:3, pages 313-320.
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Keith Harris, Kostas Triantafyllopoulos, Eleanor Stillman & Thomas McLeay. (2016) A Multivariate Control Chart for Autocorrelated Tool Wear Processes. Quality and Reliability Engineering International 32:6, pages 2093-2106.
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Li Zhang & Jian-feng Yang. (2010) CUSCORE Control Chart for IMA(1,1) Process. CUSCORE Control Chart for IMA(1,1) Process.
Edit Gombay & Daniel Serban. (2009) Monitoring parameter change in time series models . Journal of Multivariate Analysis 100:4, pages 715-725.
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George E. P. Box, Alberto Luceño & María Del Carmen Paniagua‐Quiñones. 2009. Statistical Control by Monitoring and Adjustment. Statistical Control by Monitoring and Adjustment 307 320 .
A. Račkauskas & I. Rastenė. (2008) Hölder convergence of autoregression residuals partial sum processes. Lithuanian Mathematical Journal 48:4, pages 438-450.
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George E. P. Box, Gwilym M. Jenkins & Gregory C. Reinsel. 2008. Time Series Analysis. Time Series Analysis 685 699 .
Edit Gombay. (2008) Change detection in autoregressive time series. Journal of Multivariate Analysis 99:3, pages 451-464.
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Dong Han & Fugee Tsung. (2005) Comparison of the cuscore, GLRT and cusum control charts for detecting a dynamic mean change. Annals of the Institute of Statistical Mathematics 57:3, pages 531-552.
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Sven Knoth & Wolfgang Schmid. 2004. Frontiers in Statistical Quality Control 7. Frontiers in Statistical Quality Control 7 210 236 .
Alberto Luceño. 2003. Statistics in Industry. Statistics in Industry 695 727 .
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Jaromír Antoch & Daniela Jarušková. 2002. Multivariate Total Quality Control. Multivariate Total Quality Control 87 124 .
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Michael Funke. (2006) Time‐series forecasting of the German unemployment rate. Journal of Forecasting 11:2, pages 111-125.
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George Box & José Ramírez. (2007) Cumulative score charts. Quality and Reliability Engineering International 8:1, pages 17-27.
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S. M. Tang & I. B. Macneill. (2007) Monitoring statistics for detecting interventions for autoregressive models. Environmetrics 1:4, pages 343-352.
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P. Hackl & A. H. Westlund. (1989) Statistical analysis of “structural change”: An annotated bibliography. Empirical Economics 14:2, pages 167-192.
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Peter Hackl & Anders H. Westlund. 1989. Econometrics of Structural Change. Econometrics of Structural Change 103 128 .
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Shiping Li & B. Dickinson. (1987) Jump detection and fast parameter tracking for piecewise AR processes using adaptive lattice filters. Jump detection and fast parameter tracking for piecewise AR processes using adaptive lattice filters.
V.K. Jandhyala & I.B. MacNeill. 1986. Statistical Aspects of Water Quality Monitoring, Proceedings of the Workshop held at the Canada Centre for Inland Waters. Statistical Aspects of Water Quality Monitoring, Proceedings of the Workshop held at the Canada Centre for Inland Waters 381 387 .
Steven Hillmer. (2006) Monitoring and adjusting forecasts in the presence of additive outliers. Journal of Forecasting 3:2, pages 205-215.
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M. Basseville & A. Benveniste. (1983) Sequential detection of abrupt changes in spectral characteristics of digital signals. IEEE Transactions on Information Theory 29:5, pages 709-724.
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Barry A. Macy & Philip H. Mirvis. (2016) Organizational Change Efforts. Evaluation Review 6:3, pages 301-372.
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J. Segen & A. Sanderson. (1980) Detecting change in a time-series (Corresp.). IEEE Transactions on Information Theory 26:2, pages 249-254.
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