Power of the MOSUM test for online detection of a transient change in mean

DOI10.1080/07474946.2020.1767406MaRDI QIDQ4964405zbMATH OpenOpenAlexFDO

Authors Jack Noonan, A. Zhigljavsky

Publication date 2 March 2021

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2020.1767406

zbMATH Keywords

boundary crossing probabilitychange point detectionmoving summoving sum of normal

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Sums of independent random variables; random walks (60G50) Extreme value theory; extremal stochastic processes (60G70) Sequential statistical analysis (62L10) Applications of statistics in engineering and industry; control charts (62P30)

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Cites work

• An Extension of the MOSUM Technique for Quality Control
• Approximating Shepp's constants for the Slepian process
• Approximations for the boundary crossing probabilities of moving sums of random variables
• Boundary crossing probabilities and statistical applications
• Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes
• First Passage Time for a Particular Gaussian Process
• First Passage Time for a Particular Gaussian Process
• scientific article; zbMATH DE number 6303356 (Why is no real title available?)
• MOSUM tests for parameter constancy
• Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions
• On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
• Sequential analysis. Tests and confidence intervals
• The Use of MOSUMS for Quality Control

Cited in

(8)

• scientific article; zbMATH DE number 540429 (Why is no real title available?)
• Sequential detection of common transient signals in high dimensional data stream
• Detection and estimation of multiple transient changes
• Sequential Detection of an Arbitrary Transient Change Profile by the FMA Test
• Detecting an intermittent change of unknown duration
• Sequential detection of transient signal by moving likelihood ratio statistic in an exponential family
• Sequential detection of an unknown transient change profile by the finite moving average test
• Kernel smoothing method for detecting fixed and random mean change in multivariate data

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