An extension of a change-point problem

DOI10.1080/02331880802395930zbMath1278.62020OpenAlexW2042470423WikidataQ58322527 ScholiaQ58322527MaRDI QIDQ3396483

Albert Vexler, Chengqing Wu, Enrique F. Schisterman, Brian W. Whitcomb, Aiyi Liu

Publication date: 18 September 2009

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880802395930

zbMATH Keywords

classificationlikelihood ratiomartingalechange-pointCUSUM statisticslimit of detectionmartingale transformsDoob decompositionShiryayev-Roberts statistics

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Compound decision problems in statistical decision theory (62C25)

Related Items (3)

Retrospective Change Point Detection: From Parametric to Distribution Free Policies ⋮ Density-Based Empirical Likelihood Ratio Change Point Detection Policies ⋮ Generalized Poisson integer-valued autoregressive processes with structural changes

Uses Software

• NADA

Cites Work

• Decision theoretic optimality of the cusum procedure
• Optimal detection of a change in distribution
• Average run lengths of an optimal method of detecting a change in distribution
• On tests for detecting change in mean
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• Asymptotic theory of the likelihood ratio test for the identification of a mixture
• Change point problems in the model of logistic regression
• A maximal inequality for nonnegative submartingales
• On the average run length to false alarm in surveillance problems which possess an invariance structure
• A note on the run length of false alarm of a change-point detection policy
• A robust surveillance scheme for stochastically ordered alternatives
• Guaranteed testing for epidemic changes of a linear regression model
• Nonanticipating estimation applied to sequential analysis and changepoint detection
• A simple cumulative sum type statistic for the change-point problem with zero-one observations
• A Martingale Approach to the Changepoint Problem
• Surveillance of a Simple Linear Regression
• Tests for change-points with epidemic alternatives
• Statistical Methods Related to the Law of the Iterated Logarithm
• CONTINUOUS INSPECTION SCHEMES
• Unnamed Item

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