Sequential detection of gradual changes in the location of a general stochastic process

DOI10.1016/J.SPL.2015.01.001MaRDI QIDQ2344871zbMATH OpenOpenAlexFDO

Authors Hella Timmermann

Publication date 18 May 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2015.01.001

zbMATH Keywords

stopping timeschange point analysissequential testing procedures

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Asymptotic properties of parametric tests (62F05) Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

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• Boundary Crossing Probabilities for the Wiener Process and Sample Sums
• Delay time in sequential detection of change
• Detecting gradual changes in locally stationary processes
• Limit theorems for a class of tests of gradual changes
• Permutation principles for the change analysis of stochastic processes under strong invariance
• Sequential testing of gradual changes in the drift of a stochastic process
• Some remarks on the testing of smooth changes in the linear drift of a stochastic process
• Testing appearance of linear trend
• Testing for changes in the mean or variance of a stochastic process under weak invariance
• Truncated sequential change-point detection based on renewal counting processes. II

Cited in

(14)

• Monitoring a Poisson process subject to gradual changes in the arrival rates
• Sequential Detection and Identification of a Change in the Distribution of a Markov-Modulated Random Sequence
• Monitoring procedures for detecting gradual changes
• Sequential monitoring variance changes in location model
• Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables
• Monitoring a sequence of Bernoulli random variables subject to gradual changes in the success rates where the success rates are unknown
• Surveillance of a Simple Linear Regression
• Modified tests for change points in variance in the possible presence of mean breaks
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
• A surveillance procedure for random walks based on local linear estimation
• Monitoring a Poisson process subject to gradual changes in the arrival rates where the arrival rates are unknown
• An algorithm for detecting a change in a stochastic process
• Sequential testing of gradual changes in the drift of a stochastic process
• Estimating a gradual parameter change in an AR(1)-process

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