Sequential change-point detection when unknown parameters are present in the pre-change distribution

DOI10.1214/009053605000000859MaRDI QIDQ2493547zbMATH OpenOpenAlexFDO

Authors Yajun Mei

Publication date 21 June 2006

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0605322

zbMATH Keywords

surveillancestatistical process controlquality controlchange-pointasymptotic optimalityoptimizerpower one tests

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Asymptotic properties of parametric tests (62F05) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Abstract: In the sequential change-point detection literature, most research specifies a required frequency of false alarms at a given pre-change distribution $f_{heta}$ and tries to minimize the detection delay for every possible post-change distribution $g_{lambda}$. In this paper, motivated by a number of practical examples, we first consider the reverse question by specifying a required detection delay at a given post-change distribution and trying to minimize the frequency of false alarms for every possible pre-change distribution $f_{heta}$. We present asymptotically optimal procedures for one-parameter exponential families. Next, we develop a general theory for change-point problems when both the pre-change distribution $f_{heta}$ and the post-change distribution $g_{lambda}$ involve unknown parameters. We also apply our approach to the special case of detecting shifts in the mean of independent normal observations.

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Cited in

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