Nonanticipating estimation applied to sequential analysis and changepoint detection

DOI10.1214/009053605000000183zbMath1077.62067arXivmath/0507434OpenAlexW3100345934MaRDI QIDQ2569247

Gary Lorden, Moshe Pollak

Publication date: 18 October 2005

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

Full work available at URL: https://arxiv.org/abs/math/0507434

zbMATH Keywords

surveillancerenewal theoryCUSUMquality controlGamma distributionstatistical process controlnonlinear renewal theorypower one testsShiryayev-Roberts

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Monte Carlo methods (65C05) Sequential statistical analysis (62L10) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Asymptotic properties of parametric tests (62F05)

Related Items (22)

Adaptive likelihood ratio approaches for the detection of space-time disease clusters ⋮ Detection of multiple change-points in the scale parameter of a gamma distributed sequence based on reversible jump MCMC ⋮ Universal inference ⋮ A combined SR-CUSUM procedure for detecting common changes in panel data ⋮ A self-normalization test for a change-point in the shape parameter of a gamma distributed sequence ⋮ Detecting changes in a multiparameter exponential family by using adaptive CUSUM procedure ⋮ \textit{MAD-STEC}: a method for multiple automatic detection of space-time emerging clusters ⋮ Sequential Change-Point Detection Procedures That are Nearly Optimal and Computationally Simple ⋮ A simple empirical likelihood ratio test for normality based on the moment constraints of a half-normal distribution ⋮ Sequential Detection and Estimation of Change-Points ⋮ Guaranteed maximum likelihood splitting tests of a linear regression model ⋮ Change point problems in the model of logistic regression ⋮ Guaranteed testing for epidemic changes of a linear regression model ⋮ Retrospective Parametric Tests for Homogeneity of Data ⋮ Time-uniform, nonparametric, nonasymptotic confidence sequences ⋮ Sequential detection framework for real-time biosurveillance based on Shiryaev-Roberts procedure with illustrations using COVID-19 incidence data ⋮ Martingale Type Statistics Applied to Change Points Detection ⋮ An Adaptive Shiryaev–Roberts Procedure for Signalling Varying Location Shifts ⋮ An extension of a change-point problem ⋮ Sequential Nonparametric Tests for a Change in Distribution: An Application to Detecting Radiological Anomalies ⋮ Guaranteed Local Maximum Likelihood Detection of a Change Point in Nonparametric Logistic Regression ⋮ Nonanticipating estimation applied to sequential analysis and changepoint detection

Cites Work

• Unnamed Item
• Unnamed Item
• Sequential detection of a change in a normal mean when the initial value is unknown
• Sequential analysis. Tests and confidence intervals
• Boundary crossing probabilities and statistical applications
• Average run lengths of an optimal method of detecting a change in distribution
• The expected sample size of some tests of power one
• Approximations to the expected sample size of certain sequential tests
• A nonlinear renewal theory with applications to sequential analysis. I
• Optimality and almost optimality of mixture stopping rules
• A new representation for a renewal-theoretic constant appearing in asymptotic approximations of large deviations
• Using the generalized likelihood ratio statistic for sequential detection of a change-point
• A note on the run length of false alarm of a change-point detection policy
• Nonanticipating estimation applied to sequential analysis and changepoint detection
• A simple comparision of mixture vs. nonanticipating estimation
• On Moment Generating Functions and Renewal Theory
• On Optimum Methods in Quickest Detection Problems

This page was built for publication: Nonanticipating estimation applied to sequential analysis and changepoint detection