Density-based empirical likelihood ratio change point detection policies

DOI10.1080/03610918.2010.512692zbMATH Open1205.62056OpenAlexW2087783176MaRDI QIDQ3072401FDOQ3072401

Authors: Albert Vexler, Gregory Gurevich 

Publication date: 3 February 2011

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.512692

Recommendations

• Two non parametric methods for change-point detection in distribution
• Empirical likelihood ratio test for the change-point problem
• An empirical likelihood-based CUSUM for on-line model change detection
• An efficient sequential nonparametric scheme for detecting a change of distribution
• Likelihood ratio-based distribution-free sequential change-point detection

zbMATH Keywords

tableschange pointCUSUMempirical likelihoodnonparametric testssample entropyShiryayev-Roberts procedure

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05) Approximations to statistical distributions (nonasymptotic) (62E17) Order statistics; empirical distribution functions (62G30)

Cites Work

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• Nonparametric statistical procedures for the changepoint problem
• An efficient sequential nonparametric scheme for detecting a change of distribution
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• Guaranteed testing for epidemic changes of a linear regression model
• An extension of a change-point problem
• Retrospective Parametric Tests for Homogeneity of Data
• Nonparametric AMOC Changepoint Tests for Stochastically Ordered Alternatives

Cited In (4)

• Retrospective Change Point Detection: From Parametric to Distribution Free Policies
• Two non parametric methods for change-point detection in distribution
• Title not available (Why is that?)
• An empirical likelihood-based CUSUM for on-line model change detection

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