A general class of recursive residuals is defined by means of lower-triangular, orthonormal transformations. For these residuals, some weak invariance principles are established under appropriate regularity conditions. The theory is then incorporated in the study of robustness of some tests for change of parameters occurring at unknown time points.
Publié le : 1982-03-14
Classification:
Constancy of regression (location) relationship over time,
CUSUM tests,
invariance principles,
orthonormal transformations,
recursive residuals,
tightness,
unknown transition points,
Wiener process,
60F17,
62F05
@article{1176345714,
author = {Sen, Pranab Kumar},
title = {Invariance Principles for Recursive Residuals},
journal = {Ann. Statist.},
volume = {10},
number = {1},
year = {1982},
pages = { 307-312},
language = {en},
url = {http://dml.mathdoc.fr/item/1176345714}
}
Sen, Pranab Kumar. Invariance Principles for Recursive Residuals. Ann. Statist., Tome 10 (1982) no. 1, pp. 307-312. http://gdmltest.u-ga.fr/item/1176345714/