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Full-Text Articles in Statistics and Probability
Model-Selection-Based Monitoring Of Structural Change, Kosei Fukuda
Model-Selection-Based Monitoring Of Structural Change, Kosei Fukuda
Journal of Modern Applied Statistical Methods
Monitoring structural change is performed not by hypothesis testing but by model selection using a modified Bayesian information criterion. It is found that concerning detection accuracy and detection speed, the proposed method shows better performance than the hypothesis-testing method. Two advantages of the proposed method are also discussed.