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On Control Charts for Monitoring the Variance of a Time Series
control charts CUSUM charts generalized likelihood ratio SPRT Shiryaev-Roberts procedures variance changes time series statistical process control sequential detection
2012/11/22
In this paper we derive control charts for the variance of a Gaussian process using the likelihood ratio approach, the generalized likelihood ratio approach, the sequential probability ratio method an...
Bayesian inference for nonlinear structural time series models
DSGEmodel Multi-modal Partially adapted particle flter State space
2012/11/21
This article discusses a partially adapted particle filter for estimating the likelihood of a nonlinear structural econometric state space models whose state transition density cannot be expressed in ...