Detecting a change in regression: First-order optimality

DOI10.1214/aos/1017939243zbMath0963.62077OpenAlexW1986537892MaRDI QIDQ1583892

Moshe Pollak, Abba M. Krieger, Benjamin Yakir

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

information boundchange point detection

Mathematics Subject Classification ID

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

Related Items (16)

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

Cites Work

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• Decision theoretic optimality of the cusum procedure
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• A note on optimal detection of a change in distribution
• A lower bound on the ARL to detection of a change with a probability constraint on false alarm
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Asymptotically optimal ditiction of a change in a linear model
• Procedures for Reacting to a Change in Distribution

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