Asymptotically optimal ditiction of a change in a linear model

DOI10.1080/07474949308836279zbMATH Open0793.62043OpenAlexW2073741616MaRDI QIDQ4293729FDOQ4293729

Authors: Qiwei Yao 

Publication date: 7 July 1994

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

Full work available at URL: https://doi.org/10.1080/07474949308836279

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zbMATH Keywords

stopping timeasymptotically optimalnormal linear modelCUSUM proceduredetection of changechange in the mean value parametersone-sided sequential probability ratio test

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Cites Work

• Optimal stopping times for detecting changes in distributions
• Sequential analysis. Tests and confidence intervals
• Procedures for Reacting to a Change in Distribution
• CONTINUOUS INSPECTION SCHEMES
• Optimal detection of a change in distribution
• On Optimum Methods in Quickest Detection Problems
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• A Renewal Theorem for Random Variables which are Dependent or Non-Identically Distributed
• Testing for a Two-Phase Multiple Regression
• Inference in Two-Phase Regression

Cited In (6)

• Extreme value distribution of a recursive-type detector in linear model
• Title not available (Why is that?)
• Discussion on ``Quickest detection problems: fifty years later by Albert N. Shiryaev
• The asymptotic local approach to change detection and model validation
• Optimal online detection of parameter changes in two linear models
• Detecting a change in regression: First-order optimality

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