Detecting a change in regression: First-order optimality

DOI10.1214/AOS/1017939243MaRDI QIDQ1583892zbMATH OpenOpenAlexFDO

Authors B. Yakir, Abba M. Krieger, Moshe Pollak

Publication date 3 July 2001

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1017939243

zbMATH Keywords

change point detectioninformation bound

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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Cites work

• scientific article; zbMATH DE number 795279 (Why is no real title available?)
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• A lower bound on the ARL to detection of a change with a probability constraint on false alarm
• A note on optimal detection of a change in distribution
• Asymptotically optimal ditiction of a change in a linear model
• Decision theoretic optimality of the cusum procedure
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• Procedures for Reacting to a Change in Distribution

Cited in

(17)

• A power study ofk-linear-r-ahead recursive residuals test for change-point in finite sequences
• Guaranteed Local Maximum Likelihood Detection of a Change Point in Nonparametric Logistic Regression
• Guaranteed maximum likelihood splitting tests of a linear regression model
• Guaranteed testing for epidemic changes of a linear regression model
• Optimal Surveillance Based on Exponentially Weighted Moving Averages
• Optimal sequential kernel detection for dependent processes
• Sequential change-point detection: computation versus statistical performance
• Comparative performance analysis of the cumulative sum chart and the Shiryaev-Roberts procedure for detecting changes in autocorrelated data
• Random Walks with Drift – A Sequential Approach
• Sequential change-point detection when unknown parameters are present in the pre-change distribution
• Is Average Run Length to False Alarm Always an Informative Criterion?
• Martingale Type Statistics Applied to Change Points Detection
• Sequential Change-Point Detection Procedures That are Nearly Optimal and Computationally Simple
• Jump estimation in inverse regression
• Change point problems in the model of logistic regression
• Statistical Surveillance. Optimality and Methods
• APPLIED REGRESSION ANALYSIS BIBLIOGRAPHY UPDATE 2000–2001

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