Bias of estimator of change point detected by a CUSUM procedure

DOI10.1007/BF02530528zbMath1053.62031OpenAlexW2073068263MaRDI QIDQ1881009

Yanghong Wu

Publication date: 27 September 2004

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02530528

zbMATH Keywords

change-point estimatorladder heightsstrong renewal theoremone-parameter exponential familyrandom walk theoryCUSUM procedureladder epochesquasi-stationary bias

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10)

Related Items (7)

Inference for post-change parameters after sequential CUSUM test under AR(1) model ⋮ Detecting changes in a multiparameter exponential family by using adaptive CUSUM procedure ⋮ Inference for Change-Point and Post-Change Mean with Possible Change in Variance ⋮ Sequential Common Change Detection and Isolation of Changed Panels in Panel Data ⋮ False Alarms and Sparse Change Segment Detection by Using a CUSUM Procedure ⋮ Inference for post-change mean by a CUSUM procedure ⋮ Inference after truncated one-sided sequential test

Cites Work

• Sequential analysis. Tests and confidence intervals
• On moments of the first ladder height of random walks with small drift
• Second order expansions for the moments of minimum point of an unbalanced two-sided normal random walk
• Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes
• Corrected diffusion approximations in certain random walk problems
• Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test
• On Moment Generating Functions and Renewal Theory
• Inference about the change-point from cumulative sum tests
• CONTINUOUS INSPECTION SCHEMES

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