Nonparametric adaptive change point estimation and on line detection

DOI10.1080/07474940008836437zbMath0953.62030MaRDI QIDQ4500804

Michael Baron

Publication date: 7 December 2000

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

Full work available at URL: https://doi.org/10.1080/07474940008836437

zbMATH Keywords

stopping time; CUSUM; mean delay; generalized likelihood ratio; mean time between false alarms

Mathematics Subject Classification ID

62G07: Density estimation

62G05: Nonparametric estimation

62L12: Sequential estimation

Related Items

Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund, Automatic threshold determination for a local approach of change detection in long-term signal recordings, Properties and Use of the Shewhart Method and Its Followers, Semiparametric Surveillance of Monotonic Changes

Cites Work

• Decision theoretic optimality of the cusum procedure
• Optimal stopping times for detecting changes in distributions
• Nonparametric change-point estimation
• The asymptotic behavior of some nonparametric change-point estimators
• An efficient sequential nonparametric scheme for detecting a change of distribution
• Dynamic sampling policy for detecting a change in distribution, with a probability bound on false alarm
• Asymptotic behavior of confidence regions in the change-point problem
• Average run length to false alarm for surveillance schemes designed with partially specified pre-change distribution
• The problem of the Nile: Conditional solution to a changepoint problem
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• A generalized cusum procedure for sequential detection of change-point in a parametric family when the initial parameter is unknown
• Confidence Sets in Change-Point Problems
• Inference about the change-point in a sequence of random variables
• CONTINUOUS INSPECTION SCHEMES