A combined SR-CUSUM procedure for detecting common changes in panel data

DOI10.1080/03610926.2018.1494285MaRDI QIDQ5076901zbMATH OpenOpenAlexFDO

Authors Yanhong Wu

Publication date 17 May 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2018.1494285

zbMATH Keywords

change-point detectionexponential familycommon changeShiryayev-Roberts processlocal score test

Mathematics Subject Classification ID

Sequential statistical analysis (62L10)

Recommendations

• Estimation of common change point and isolation of changed panels after sequential detection
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• Change-point detection in panel data
• Cumulative sum estimator for change-point in panel data
• Variance change-point detection in panel data models

Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Asymptotically Optimal Quickest Change Detection in Distributed Sensor Systems
• Average run lengths of an optimal method of detecting a change in distribution
• Detecting changes in a multiparameter exponential family by using adaptive CUSUM procedure
• Detecting simultaneous change points in multiple sequences
• Detecting simultaneous variant intervals in aligned sequences
• Detection of spatial clustering with average likelihood ratio test statistics
• Efficient scalable schemes for monitoring a large number of data streams
• Higher criticism for detecting sparse heterogeneous mixtures.
• Inference for change point and post change means after a CUSUM test.
• Innovated higher criticism for detecting sparse signals in correlated noise
• Large-Scale Multi-Stream Quickest Change Detection via Shrinkage Post-Change Estimation
• Local score tests in mixture exponential family
• Nonanticipating estimation applied to sequential analysis and changepoint detection
• On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
• Optimal detection of multi-sample aligned sparse signals
• Optimal sequential detection in multi-stream data
• SUPPLEMENTARY SCORE TEST IN MIXTURE MODEL
• Sequential Change-Point Detection Procedures That are Nearly Optimal and Computationally Simple
• Sequential analysis. Tests and confidence intervals
• Sequential multi-sensor change-point detection
• Simultaneous discovery of rare and common segment variants

Cited in

(10)

• Sequential common rate decrease detection, isolation, and estimation in multiple Poisson processes
• Isolating changed panels and estimating common change point after sequential detection with FDR control
• Estimation of common change point and isolation of changed panels after sequential detection
• Change-point detection in panel data via double CUSUM statistic
• Common change-point estimation and changed panel isolation after sequential detection in an exponential family
• Sequential Common Change Detection and Isolation of Changed Panels in Panel Data
• Nonparametric Shiryaev-Roberts change-point detection procedures based on modified empirical likelihood
• Sequential common change detection, isolation, and estimation in multiple Poisson processes
• Estimating restricted common structural changes for panel data
• Bandit Change-Point Detection for Real-Time Monitoring High-Dimensional Data Under Sampling Control

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