Retrospective Change Point Detection: From Parametric to Distribution Free Policies

DOI10.1080/03610911003663881zbMath1192.62263OpenAlexW2030102562MaRDI QIDQ3577215

Albert Vexler, Gregory Gurevich

Publication date: 5 August 2010

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

Full work available at URL: https://doi.org/10.1080/03610911003663881

zbMATH Keywords

entropyrobustnesslikelihood ratioCUSUMnonparametric testschange pointnonparametric likelihoodoptimal testingmost powerfulShiryayev-Roberts

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Parametric hypothesis testing (62F03) Applications of statistics in engineering and industry; control charts (62P30) Monte Carlo methods (65C05) Statistical tables (62Q05)

Related Items (7)

On optimal segmentation and parameter tuning for multiple change-point detection and inference ⋮ The CUSUM statistics of change-point models based on dependent sequences ⋮ False discovery rate approach to dynamic change detection ⋮ On asymptotic approximation of ratio models for weakly dependent sequences ⋮ Data-driven estimation of change-points with mean shift ⋮ An empirical likelihood ratio based goodness-of-fit test for inverse Gaussian distributions ⋮ Generalized Poisson integer-valued autoregressive processes with structural changes

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