Sequential monitoring for changes from stationarity to mild non-stationarity
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DOI: 10.1016/j.jeconom.2019.08.010
Abstract: Abstract We develop and study sequential testing procedures a la Chu et al. (1996) for on-line detection of changes in a time series from stationarity to mild forms of non-stationarity. The proposed tests are based on… read more here.
Keywords: stationarity; monitoring changes; non stationarity; sequential monitoring ... See more keywords
Sequential monitoring of the tail behavior of dependent data
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DOI: 10.1016/j.jspi.2016.08.010
Abstract: Abstract We construct a sequential monitoring procedure for changes in the tail index and extreme quantiles of β -mixing random variables, which can be based on a large class of tail index estimators. The assumptions… read more here.
Keywords: monitoring tail; tail index; sequential monitoring; tail behavior ... See more keywords
A structured framework for adaptively incorporating external evidence in sequentially monitored clinical trials
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DOI: 10.1080/10543406.2022.2078346
Abstract: ABSTRACT We present a Bayesian framework for sequential monitoring that allows for use of external data, and that can be applied in a wide range of clinical trial applications. The basis for this framework is… read more here.
Keywords: sequential monitoring; trial; framework; monitoring ... See more keywords