Nonanticipating estimation applied to sequential analysis and changepoint detection

DOI10.1214/009053605000000183MaRDI QIDQ2569247zbMATH OpenOpenAlexFDO

Authors 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

CUSUMGamma distributionnonlinear renewal theorypower one testsquality controlrenewal theoryShiryayev-Robertsstatistical process controlsurveillance

Mathematics Subject Classification ID

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

Abstract: Suppose a process yields independent observations whose distributions belong to a family parameterized by hetainTheta. When the process is in control, the observations are i.i.d. with a known parameter value heta_0. When the process is out of control, the parameter changes. We apply an idea of Robbins and Siegmund [Proc. Sixth Berkeley Symp. Math. Statist. Probab. 4 (1972) 37-41] to construct a class of sequential tests and detection schemes whereby the unknown post-change parameters are estimated. This approach is especially useful in situations where the parametric space is intricate and mixture-type rules are operationally or conceptually difficult to formulate. We exemplify our approach by applying it to the problem of detecting a change in the shape parameter of a Gamma distribution, in both a univariate and a multivariate setting.

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Cited in

(27)

• Adaptive likelihood ratio approaches for the detection of space-time disease clusters
• \textit{MAD-STEC}: a method for multiple automatic detection of space-time emerging clusters
• A simple empirical likelihood ratio test for normality based on the moment constraints of a half-normal distribution
• Change point problems in the model of logistic regression
• Time-uniform, nonparametric, nonasymptotic confidence sequences
• Detection of multiple change-points in the scale parameter of a gamma distributed sequence based on reversible jump MCMC
• Nuisance-parameter-free changepoint detection in non-stationary series
• Guaranteed testing for epidemic changes of a linear regression model
• Nonanticipating estimation applied to sequential analysis and changepoint detection
• An adaptive Shiryaev-Roberts procedure for signalling varying location shifts
• An extension of a change-point problem
• Sequential Change-Point Detection Procedures That are Nearly Optimal and Computationally Simple
• Sequential detection and estimation of change-points
• Martingale Type Statistics Applied to Change Points Detection
• A self-normalization test for a change-point in the shape parameter of a gamma distributed sequence
• A simple comparision of mixture vs. nonanticipating estimation
• Detecting changes in a multiparameter exponential family by using adaptive CUSUM procedure
• Sequential detection framework for real-time biosurveillance based on Shiryaev-Roberts procedure with illustrations using COVID-19 incidence data
• Universal inference
• A combined SR-CUSUM procedure for detecting common changes in panel data
• Sequential nonparametric tests for a change in distribution: an application to detecting radiological anomalies
• Guaranteed maximum likelihood splitting tests of a linear regression model
• Retrospective Parametric Tests for Homogeneity of Data
• Guaranteed Local Maximum Likelihood Detection of a Change Point in Nonparametric Logistic Regression
• Sequential change-point detection: computation versus statistical performance
• Beyond boundaries: Gary Lorden’s groundbreaking contributions to sequential analysis
• On testing for \textit{weak change} in the conditional mean of a class of nonlinear heteroscedastic models

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