Detecting change in a random sequence (Q1100836): Difference between revisions
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Latest revision as of 11:51, 30 July 2024
scientific article
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English | Detecting change in a random sequence |
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Detecting change in a random sequence (English)
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1987
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This paper proposes a sequential procedure for detecting a change-point in a sequence of i.i.d. random observations \(X_ 1,X_ 2,..\). in a nonparametric framework. The sequential test statistic is based upon the empirical distribution function of variables \(E_ i\) which act as the recursive residuals in the Gaussian linear model: \(E_ i\) is the e.d.f. of the i-1 previous observations, taken at the value \(X_ i.\) Under the null hypothesis, the variables \(E_ i\) are quite uniformly distributed and the authors give the asymptotic threshold for various weighted statistics and a fixed level, using the approximation by a Kiefer process. They then prove the consistency of the proposed test.
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change point problem
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strong approximations
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sequential ranks
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boundary crossing problems
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sequential test statistic
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empirical distribution
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recursive residuals
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Gaussian linear model
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asymptotic threshold
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weighted statistics
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approximation by a Kiefer process
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consistency
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