| Sequential Monitoring Variance Change in Linear Regression Model |
| Received:October 09, 2008 Revised:September 15, 2009 |
| Key Words:
sequential monitoring variance change linear regression model residuals.
|
| Fund Project:Supported by the National Natural Science Foundation of China (Grant Nos.60972150; 10926197) and the Science and Technology Innovation Foundation of Northwestern Polytechnical University (Grant No.2007KJ01033). |
| Author Name | Affiliation | | Zhan Shou CHEN | Department of Applied Mathematics, Northwestern Polytechnical University, Shaanxi $710129$, P. R. China
| | Zheng TIAN | Department of Applied Mathematics, Northwestern Polytechnical University, Shaanxi $710129$, P. R. China
State Key Laboratory of Remote Sensing Science, Institute of Remote Sensing Applications, Chinese Academy of Sciences, Beijing $100101$, P. R. China | | Rui Bing QIN | Department of Applied Mathematics, Northwestern Polytechnical University, Shaanxi $710129$, P. R. China
| | Cheng Cai LENG | Department of Applied Mathematics, Northwestern Polytechnical University, Shaanxi $710129$, P. R. China
|
|
| Hits: 2897 |
| Download times: 2058 |
| Abstract: |
| The paper investigates the sequential observations' variance change in linear regression model. The procedure is based on a detection function constructed by residual squares of CUSUM and a boundary function which is designed so that the test has a small probability of false alarm and asymptotic power one. Simulation results show our monitoring procedure performs well when variance change occurs shortly after the monitoring time. The method is still feasible for regression coefficients change or both variance and regression coefficients change problem. |
| Citation: |
| DOI:10.3770/j.issn:1000-341X.2010.04.005 |
| View Full Text View/Add Comment |
|
|
|
