Detection and estimation of multiple transient changes

DOI10.1080/02664763.2023.2174257MaRDI QIDQ6063300zbMATH OpenOpenAlexFDO

Authors Michael Baron, Sergey V. Malov

Publication date 7 November 2023

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2112.06308

zbMATH Keywords

change-point problemCUSUM processfalse alarmmaximum likelihood estimatetransient changes

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: Change-point detection methods are proposed for the case of temporary failures, or transient changes, when an unexpected disorder is ultimately followed by a readjustment and return to the initial state. A base distribution of the "in-control" state changes to an "out-of-control" distribution for unknown periods of time. Likelihood based sequential and retrospective tools are proposed for the detection and estimation of each pair of change-points. The accuracy of the obtained change-point estimates is assessed. Proposed methods offer simultaneous control the familywise false alarm and false readjustment rates at the pre-chosen levels.

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