Sequential detection and estimation of change-points

DOI10.1080/07474941003741284zbMATH Open1190.62146OpenAlexW2021403215MaRDI QIDQ3578024FDOQ3578024

Authors: Boris Brodsky 

Publication date: 13 July 2010

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474941003741284

Recommendations

• Sequential Change-Point Detection and Estimation
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zbMATH Keywords

change-point estimationsequential detectionchange-pointasymptotic optimalityperformance measure

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Sequential statistical analysis (62L10) Sequential estimation (62L12)

Cites Work

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• Optimal detection of a change in distribution
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• A Bayes Approach to a Quality Control Model
• Nonanticipating estimation applied to sequential analysis and changepoint detection
• Sequential Change-Point Detection and Estimation
• Sequential change-point detection for mixing random sequences under composite hypotheses
• A lower confidence bound for the change point after a sequential CUSUM test
• Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test

Cited In (30)

• \(U\)-statistics for sequential change detection.
• On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
• Title not available (Why is that?)
• Title not available (Why is that?)
• An efficient algorithm for estimating a change-point
• Sequential change-point detection when the pre- and post-change parameters are unknown
• Sequential change-point detection in continuous time when the post-change drift is unknown
• Sequential Detection of Change-Points in Linear Models
• Change-point detection, segmentation, and related topics
• Sequential change-point detection with likelihood ratios
• Sequential Detection and Identification of a Change in the Distribution of a Markov-Modulated Random Sequence
• Title not available (Why is that?)
• Sequential Change-Point Detection in State-Space Models
• A new approach for open‐end sequential change point monitoring
• Micro–Macro Changepoint Inference for Periodic Data Sequences
• Martingale Type Statistics Applied to Change Points Detection
• Title not available (Why is that?)
• Detection of multiple changes in a sequence of dependent variables
• Change point detection for the mean of long range dependence sequence
• Sequential testing for structural stability in approximate factor models
• Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund
• Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund
• Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund
• Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David O. Siegmund
• Sequential Detection of an Arbitrary Transient Change Profile by the FMA Test
• Asymptotic law in sequential estimation of a change point
• On Asymptotic Optimality in Sequential Changepoint Detection: Non-iid Case
• Nonparametric Sequential Change-Point Detection by a Vertically Trimmed Box Method
• Sequential change-point detection for mixing random sequences under composite hypotheses
• Sequential Change-Point Detection and Estimation

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