SEQUENTIAL MONITORING FOR CHANGE IN SCALE
We propose a sequential monitoring scheme for detecting a change in scale. We consider a stable historical period of length m. The goal is to propose a test,with asymptotically small probability of false alarm and power 1 as the length of the historical period tends to infinity. The asymptotic distribution under the null hypothesis and consistency under the alternative hypothesis is derived. A small simulation study illustrates the finite sample performance of the monitoring scheme.
sequential test for change in scale