Sequential Monitoring Variance Changes in Location Model

Abstract

In this paper, a moving monitoring procedure is proposed to detect potential variance change of the location model with dependent errors. The procedure is motivated by the problem that the existing square CUSUM test is insensitive to a late variance change of the location model. The asymptotic distribution of the statistics under the null hypothesis and the consistency under the alternative hypothesis are derived. Simulations show that our monitoring procedure compared to the square CUSUM test offers better power and can more quickly detect change. Moreover, the effectiveness of our procedure is illustrated by applying it to two data sets.

Keywords:

• Location model
• Sequential monitoring procedure
• Variance change

Mathematics Subject Classification:

• 62F03