Extended SPRT for structural change detection of time series based on a multiple regression model

It is important to detect a structural change in a time series quickly as a trigger to remodeling the forecasting model. The well-known Chow test has been used as the standard method for detecting change, especially in economics. However, we have proposed the application of the sequential probabilit...

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Veröffentlicht in:	Artificial life and robotics 2010-12, Vol.15 (4), p.417-420
Hauptverfasser:	Takeda, Katsunori, Hattori, Tetsuo, Izumi, Tetsuya, Kawano, Hiromichi
Format:	Artikel
Sprache:	eng
Schlagworte:	Artificial Intelligence Change detection Computation Computation by Abstract Devices Computer Science Control Economics Forecasting Mathematical models Mechatronics Original Article Regression Robotics Time series
Online-Zugang:	Volltext
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