[Statlist] Next talk: Friday, April 8, 2011, with Stanislav Anatolyev
Cecilia Rey
rey @end|ng |rom @t@t@m@th@ethz@ch
Tue Apr 5 09:10:27 CEST 2011
ETH and University of Zurich
Proff. P. Buehlmann - R. Furrer - L. Held - H.R. Kuensch -
M. Maathuis - S. van de Geer - M. Wolf
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We are glad to announce the following talk
Friday, April 8, 2011, 15.15 HG G 19.1
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by Stanislav Anatolyev, New Economic School, Moscow
Titel:
Sequential testing with uniformly distributed size
Abstract:
Sequential procedures of testing for structural stability do not
provide enough guidance on the shape of boundaries that are used to
decide on acceptance or rejection, requiring only that the overall
size of the test is asymptotically controlled. We introduce and
motivate a reasonable criterion for a shape of boundaries which
requires that the test size be uniformly distributed over the testing
period. Under this criterion, we numerically construct boundaries for
most popular sequential tests that are characterized by a test
statistic behaving asymptotically either as a Wiener process or
Brownian bridge. We handle this problem both in a context of
retrospecting a historical sample and in a context of monitoring newly
arriving data. We tabulate the boundaries by �tting them to certain
�exible but parsimonious functional forms. Interesting patterns emerge
in an illustrative application of sequential tests to the Phillips
curve model.
Key words: Structural stability; sequential tests; CUSUM;
retrospection; monitoring; boundaries; asymptotic size.
The abstract is also to be found here: http://stat.ethz.ch/events/
index.
--
ETH Z�rich
Seminar f�r Statistik
Cecilia Rey-Lutz, HG G10.3
R�mistrasse 101
CH-8092 Zurich
mail: rey using stat.math.ethz.ch
phone: +41 44 632 3438/fax: +41 44 632 1228
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