Original title: Rekurzivní postupy pro detekci změny rozdělení
Translated title: Recursive procedures for detection of changes
Authors: Chochola, Ondřej ; Černíková, Alena (referee) ; Hušková, Marie (advisor)
Document type: Master’s theses
Year: 2007
Language: cze
Abstract: In the thesis we study a sequential monitoring scheme for detecting a change in variance. We assume to have a stable historical period of length m. The goal is to propose tests with asymptotically small probability of type I error and power 1 as m tends to infinity. Two such procedures were proposed. The first uses estimates of variance from the historical period, the second uses recursive estimates. The distribution under the null hypothesis and also under the alternative hypothesis was derived for both test statistics. Furthermore a simulation study for of the finite sample performance of the monitoring schemes was conducted.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/13279

Permalink: http://www.nusl.cz/ntk/nusl-289197


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses