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Effect of dependence on statistics for determination of change. (English) Zbl 1003.62537
Summary: Quite a number of test statistics and estimators for detection of a change in the mean of a series of independent observations were proposed and studied. The purpose of this paper is to examine the behaviour of these statistics if the observations are dependent, particularly, if they form a linear process.

MSC:
62M10Time series, auto-correlation, regression, etc. (statistics)
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References:
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