Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test

DOI10.1080/07474949908836432zbMATH Open0944.62074OpenAlexW1554375891MaRDI QIDQ4944015FDOQ4944015

Authors: Yanhong Wu, Muni S. Srivastava 

Publication date: 25 July 2000

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

Full work available at URL: https://doi.org/10.1080/07474949908836432

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zbMATH Keywords

bias reductionBrownian motionchange point problemCUSUM process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Sequential statistical analysis (62L10)

Cites Work

• Inference about the change-point from cumulative sum tests
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean
• Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes

Cited In (13)

• Detecting Abrupt Leaks in Blended Underground Storage Tanks
• A lower confidence bound for the change point after a sequential CUSUM test
• Sequential detection and estimation of change-points
• Bias of estimates of change points of stochastic processes determined by minimization of residual squares.
• Reaction times of monitoring schemes for ARMA time series
• Inference after truncated one-sided sequential test
• On the biases of change point and change magnitude estimation after CUSUM test
• Detection and estimation of abrupt changes in the variability of a process
• Discussion on “Sequential Design and Estimation in Heteroscedastic Nonparametric Regression” by Sam Efromovich
• Bias of estimator of change point detected by a CUSUM procedure
• Inference for Change-Point and Post-Change Mean with Possible Change in Variance
• Sequential Change-Point Detection and Estimation
• Inference for post-change mean by a CUSUM procedure

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