Sequential change-point detection with likelihood ratios

DOI10.1016/S0167-7152(00)00048-1zbMath0964.62081MaRDI QIDQ1579858

Edit Gombay

Publication date: 21 November 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

strong approximationmaximum likelihood ratiosequential change-point detection

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (6)

Statistical Surveillance. Optimality and Methods ⋮ Unnamed Item ⋮ Nonparametric control chart based on change-point model ⋮ A window-limited generalized likelihood ratio test for monitoring Poisson processes with linear drifts ⋮ Change-point problems: bibliography and review ⋮ Nonparametric Sequential Comparison of Two Treatments with Random Allocation

Cites Work

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• Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean
• An approximation of partial sums of independent RV's, and the sample DF. II
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• The likelihood ratio under noncontiguous alternatives
• The weighted sequential likelihood ratio
• On Optimum Methods in Quickest Detection Problems

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