On the biases of change point and change magnitude estimation after CUSUM test

DOI10.1016/j.jspi.2004.09.005zbMath1088.62099OpenAlexW2029299604MaRDI QIDQ2491854

Yanhong Wu, Keyue Ding

Publication date: 29 May 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.09.005

zbMATH Keywords

biasrandom walkrenewal theoremchange-pointCUSUM processstandard one parameter exponential family

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Sequential estimation (62L12)

Related Items (1)

Inference after truncated one-sided sequential test

Cites Work

• Unnamed Item
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• Sequential analysis. Tests and confidence intervals
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• A lower confidence bound for the change point after a sequential CUSUM test
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Corrected diffusion approximations in certain random walk problems
• Estimation after sequential testing: A simple approach for a truncated sequential probability ratio test
• Estimation Following Sequential Tests
• PROPERTIES OF THE MINIMUM POINT OF AN UNBALANCED TWO-SIDED RANDOM WALK
• On the bias of maximum likelihood estimation following a sequential test
• Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test
• Inference about the change-point in a sequence of random variables
• Inference about the change-point from cumulative sum tests
• Procedures for Reacting to a Change in Distribution
• CONTINUOUS INSPECTION SCHEMES

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