Delay times of sequential procedures for multiple time series regression models

@inproceedings{Aue2009DelayTO,
  title={Delay times of sequential procedures for multiple time series regression models},
  author={Alexander Aue and Lajos Horv{\'a}th and Matthew Reimherr},
  year={2009}
}
We consider a multiple regression model in which the explanatory variables are specified by time series. To sequentially test for the stability of the regression parameters in time, we introduce a detector which is based on the first excess time of a CUSUM-type statistic over a suitably constructed threshold function. The aim of this paper is to study the delay time associatedwith this detector. As ourmain result, we derive the limit distribution of the delay time and provide thereby a theory… CONTINUE READING

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