An optimal retrospective change point detection policy

DOI10.1111/J.1467-9469.2008.00636.XMaRDI QIDQ3552972zbMATH OpenOpenAlexFDO

Authors Albert Vexler, Chengquing Wu

Publication date 22 April 2010

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.949.602

zbMATH Keywords

a-posteriori change point detectionaverage most powerful testShiryayev-Roberts statistic

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Sequential statistical analysis (62L10) Sequential statistical methods (62L99)

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Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 795279 (Why is no real title available?)
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• CONTINUOUS INSPECTION SCHEMES
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• Guaranteed testing for epidemic changes of a linear regression model
• Hypothesis Testing: From p Values to Bayes Factors
• Integrated Risk of Asymptotically Bayes Sequential Tests
• Martingale Type Statistics Applied to Change Points 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
• Optimal stopping times for detecting changes in distributions
• Sequential analysis: Some classical problems and new challenges. (With comments and rejoinder).
• Surveillance of a Simple Linear Regression
• Tests for a change-point
• The Cusum Test with Ols Residuals

Cited in

(15)

• A new empirical likelihood ratio goodness of fit test for normality based on moment constraints
• An empirical likelihood ratio based goodness-of-fit test for inverse Gaussian distributions
• A simple empirical likelihood ratio test for normality based on the moment constraints of a half-normal distribution
• Simple and exact empirical likelihood ratio tests for normality based on moment relations
• Retrospective Change Point Detection: From Parametric to Distribution Free Policies
• Sufficient reduction in multivariate surveillance
• Bayesian empirical likelihood methods for quantile comparisons
• A Simple Density-Based Empirical Likelihood Ratio Test for Independence
• Two-sample density-based empirical likelihood tests for incomplete data in application to a pneumonia study
• An empirical likelihood ratio-based omnibus test for normality with an adjustment for symmetric alternatives
• False discovery rate approach to dynamic change detection
• Martingale Type Statistics Applied to Change Points Detection
• A moment-based empirical likelihood ratio test for exponentiality using the probability integral transformation
• Asymptotically d-optimal Test of A Posteriori Change-Point Detection
• An extensive power evaluation of a novel two-sample density-based empirical likelihood ratio test for paired data with an application to a treatment study of attention-deficit/hyperactivity disorder and severe mood dysregulation

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