Random Walks with Drift - A Sequential Approach
نویسندگان
چکیده
منابع مشابه
Random Walks with Drift - a Sequential Approach
In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its associated sequential partial sum process under non-standard sampling. The asymptotic behavior differs substantially from the stationary situation, if there...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2005
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.2005.00450.x