DETECTION OF CHANGES IN LINEAR SEQUENCES

LAJOS HORVÁTH

Department of Mathematics, University of Utah, Salt Lake City, UT 84112, U.S.A.

(Received May 15, 1995; revised May 1, 1996)

Abstract.    We discuss the asymptotic properties of some tests to detect possible changes in the mean of linear processes.

Key words and phrases:    Change-point, linear sequence, dependent observations.

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