[Statlist] Next talk: Friday, April 8, 2011, with Stanislav Anatolyev

[Cecilia Rey]

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 Ötting them to certain  
áexible 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 Zürich
Seminar für Statistik
Cecilia Rey-Lutz, HG G10.3
Rämistrasse 101
CH-8092 Zurich		                      	
mail: rey at stat.math.ethz.ch    	  		
phone: +41 44 632 3438/fax: +41 44 632 1228



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