A double recursion for calculating moments of the truncated normal distribution and its connection to change detection

DOI10.1007/S11009-018-9622-7MaRDI QIDQ2283679zbMATH OpenOpenAlexFDO

Authors Moshe Pollak, Michal Shauly-Aharonov

Publication date 13 January 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-018-9622-7

zbMATH Keywords

changepointon-lineShiryaev-Robertssurveillance

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Nonparametric hypothesis testing (62G10) Sequential statistical analysis (62L10)

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Cites work

• A dynamic view to moment matching of truncated distributions
• A robust surveillance scheme for stochastically ordered alternatives
• Average run lengths of an optimal method of detecting a change in distribution
• Distribution of angular momentum in the transverse plane
• Sequential detection of a change in a normal mean when the initial value is unknown
• Surveillance of a Simple Linear Regression

Cited in

(3)

• A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation
• Unified and non-recursive formulas for moments of the normal distribution with stripe truncation
• The distribution of the sample correlation coefficient under variance-truncated normality

Describes a project that uses

Uses Software

• advanpix
• Matlab

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