Average run lengths of an optimal method of detecting a change in distribution (Q1095542): Difference between revisions
From MaRDI portal
Set profile property. |
Normalize DOI. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / DOI | |||
| Property / DOI: 10.1214/aos/1176350373 / rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1214/aos/1176350373 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1999907325 / rank | |||
Normal rank | |||
| Property / DOI | |||
| Property / DOI: 10.1214/AOS/1176350373 / rank | |||
Normal rank | |||
Latest revision as of 15:23, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Average run lengths of an optimal method of detecting a change in distribution |
scientific article |
Statements
Average run lengths of an optimal method of detecting a change in distribution (English)
0 references
1987
0 references
The author, Ann. Stat. 13, 206-227 (1985; Zbl 0573.62074), gave a second- order asymptotically optimal solution to the classical change point problem. In the present paper, he dicusses asymptotic operating characteristics of this and related procedures. Asymptotic expressions for the expected stopping times are obtained. A Monte Carlo study made for the normal model with unit variance indicated that the asymptotic expressions are very good approximations, even when the expected sample sizes are small.
0 references
average run lengths
0 references
asymptotic operating characteristics
0 references
Asymptotic expressions
0 references
expected stopping times
0 references
Monte Carlo study
0 references
approximations
0 references
