Arbeitspapier
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 is a unit root (random walk component). To obtain meaningful asymptotic results we consider local nonparametric alternatives for the drift component. It turns out that the rate of convergence at which the drift vanishes determines whether the asymptotic properties of the monitoring procedure are determined by a deterministic or random function. Further, we provide a theoretical result about the optimal kernel for a given alternative.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Report ; No. 2004,50
- Thema
-
Control chart
nonparametric smoothing
sequential analysis
unit roots
weighted partial sum process
Random Walk
Zeitreihenanalyse
Nichtparametrisches Verfahren
Unit Root Test
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Steland, Ansgar
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (wo)
-
Dortmund
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Steland, Ansgar
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Entstanden
- 2004
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