A two-step sequential procedure for detecting an epidemic change (Q2463684)
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scientific article; zbMATH DE number 5220179
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| English | A two-step sequential procedure for detecting an epidemic change |
scientific article; zbMATH DE number 5220179 |
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A two-step sequential procedure for detecting an epidemic change (English)
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16 December 2007
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The authors consider a sequence of independent r.v.s \(X_i\) with an epidemic change of the distribution, i.e., for some \(k_1<k_2\) the CDF of \(X_i\) is \(F(\cdot)\) as \(i\leq k_1\) or \(i>k_2\) and is \(F(\cdot-\Delta)\) for \(k_1<i\leq k_2\). The change points \(k_1\) and \(k_2\) are detected sequentially. A two-step procedure is proposed for the detection based on the standardized increments of the renewal counting process constructed by \(X_i\). The critical values of this procedure are derived via a strong invariance principle.
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change-points
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extreme value asymptotics
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stopping times
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law of the iterated logarithm
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first passage times
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renewal counting process
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0.8050780892372131
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0.8012481331825256
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0.792002260684967
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0.7920022010803223
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