Delay time in monitoring jump changes

Abstract

Sequential procedure for monitoring jump changes in linear models are investigated. The main result shows that, under the alternative, the suitably normalized stopping time of the procedure has a standard normal limiting distribution.

A number of examples are discussed and the finite sample validity of the asymptotics is checked via a small simulation study.

Keywords

• sequential change point analysis
• stopping time
• monitoring procedure
• delay time
• linear regression model
• asymptotic normality