Martingale Type Statistics Applied to Change Points Detection

DOI10.1080/03610920701713385zbMath1196.62109MaRDI QIDQ3634526

Albert Vexler

Publication date: 25 June 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701713385

zbMATH Keywords

martingale; maximum likelihood; change point; CUSUM statistics; AR(1) model; epidemic alternative; Shiryayev-Roberts statistics

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

65C05: Monte Carlo methods

62L10: Sequential statistical analysis

62F05: Asymptotic properties of parametric tests

Related Items

Retrospective change detection for binary time series models, Density-Based Empirical Likelihood Ratio Change Point Detection Policies, An Optimal Retrospective Change Point Detection Policy, Retrospective Change Point Detection: From Parametric to Distribution Free Policies

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