An extension of a change-point problem

DOI10.1080/02331880802395930MaRDI QIDQ3396483zbMATH OpenOpenAlexWikidataFDO

Authors Albert Vexler, Chengqing Wu, Aiyi Liu, Brian W. Whitcomb, Enrique F. Schisterman

Publication date 18 September 2009

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331880802395930

zbMATH Keywords

classificationmartingaleCUSUM statisticslikelihood ratiochange-pointlimit of detectionmartingale transformsDoob decompositionShiryayev-Roberts statistics

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Compound decision problems in statistical decision theory (62C25)

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Cites work

• scientific article; zbMATH DE number 2122820 (Why is no real title available?)
• A Martingale Approach to the Changepoint Problem
• A maximal inequality for nonnegative submartingales
• A note on the run length of false alarm of a change-point detection policy
• A robust surveillance scheme for stochastically ordered alternatives
• A simple cumulative sum type statistic for the change-point problem with zero-one observations
• An application of the maximum likelihood test to the change-point problem
• Asymptotic theory of the likelihood ratio test for the identification of a mixture
• Average run lengths of an optimal method of detecting a change in distribution
• CONTINUOUS INSPECTION SCHEMES
• Change point problems in the model of logistic regression
• Decision theoretic optimality of the cusum procedure
• Guaranteed testing for epidemic changes of a linear regression model
• Nonanticipating estimation applied to sequential analysis and changepoint detection
• On tests for detecting change in mean
• On the average run length to false alarm in surveillance problems which possess an invariance structure
• Optimal detection of a change in distribution
• Statistical Methods Related to the Law of the Iterated Logarithm
• Surveillance of a Simple Linear Regression
• Tests for change-points with epidemic alternatives

Cited in

(7)

• The change-point problem for dependent observations
• Generalized Poisson integer-valued autoregressive processes with structural changes
• Martingale Type Statistics Applied to Change Points Detection
• Retrospective Change Point Detection: From Parametric to Distribution Free Policies
• Change point problems in the model of logistic regression
• Density-based empirical likelihood ratio change point detection policies
• On the isotonic change-point problem

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Uses Software

• NADA

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