Motivated by applications in statistical quality control and signal analysis, we propose a sequential detection procedure which is designed to detect structural changes, in particular jumps, immediately. This is achieved by modifying a median filter by appropriate kernel-based jump preserving...

Motivated by applications in statistical quality control and signal analysis, we propose a sequential detection procedure which is designed to detect structural changes, in particular jumps, immediately. This is achieved by modifying a median filter by appropriate kernel-based jump preserving...

We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...