Sequential tests that are generalizations of Page's CUSUM tests are proposed for detecting an abrupt change in any parameter, or in any collection of parameters of an autoregressive time series model. These tests accommodate nuisance parameters. They are based on large sample approximations to...

There are many ways to measure the dispersion of a random variable. One such method uses the concept of peakedness. If the random variable X is symmetric about a point [mu], then Birnbaum [Z.W. Birnbaum, On random variables with comparable peakedness, The Annals of Mathematical Statistics 19...