Controlling Type-I Error Rate in Monitoring Structural Changes Using Partially Sequential Procedures

نویسندگان

  • Uttam Bandyopadhyay
  • Atanu Biswas
  • Amitava Mukherjee
چکیده

This article may be used for research, teaching and private study purposes. Any substantial or systematic reproduction, redistribution , reselling , loan or sub-licensing, systematic supply or distribution in any form to anyone is expressly forbidden. The publisher does not give any warranty express or implied or make any representation that the contents will be complete or accurate or up to date. The accuracy of any instructions, formulae and drug doses should be independently verified with primary sources. The publisher shall not be liable for any loss, actions, claims, proceedings, demand or costs or damages whatsoever or howsoever caused arising directly or indirectly in connection with or arising out of the use of this material. In the present article, we develop some asymptotically power on partially sequential nonparametric tests for monitoring structural changes. Our test procedures are based on Wilcoxon score. We use the idea of curved stopping boundaries. We derive some exact results and perform simulation studies to provide various properties of the tests. We see that one of the proposed procedures significantly controls the Type I error rate. This procedure may be very effective for fluctuation monitoring. We illustrate the procedures by using real life data from the stock market.

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عنوان ژورنال:
  • Communications in Statistics - Simulation and Computation

دوره 37  شماره 

صفحات  -

تاریخ انتشار 2008