Inference for Change-Point and Post-Change Mean with Possible Change in Variance

DOI10.1081/SQA-200063283MaRDI QIDQ5697358zbMATH OpenOpenAlexFDO

Authors Yanhong Wu

Publication date 17 October 2005

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sqa-200063283

zbMATH Keywords

change-point problemrenewal theoremrandom walk theorybiased estimationcorrected confidence interval

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Sequential estimation (62L12)

Recommendations

• Inference for post-change mean by a CUSUM procedure
• Inference for change point and post change means after a CUSUM test.
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• Bias of estimator of change point detected by a CUSUM procedure
• Inference for post-change parameters after sequential CUSUM test under AR(1) model

Cites work

• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Approximate bias calculations for sequentially designed experiments
• Bias of estimator of change point detected by a CUSUM procedure
• CONTINUOUS INSPECTION SCHEMES
• Corrected diffusion approximations in certain random walk problems
• Estimation after sequential testing: A simple approach for a truncated sequential probability ratio test
• Inference about the change-point from cumulative sum tests
• Inference for change point and post change means after a CUSUM test.
• On the bias of maximum likelihood estimation following a sequential test
• Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test
• Second order expansions for the moments of minimum point of an unbalanced two-sided normal random walk
• Sequential analysis. Tests and confidence intervals
• Very weak expansions for sequential confidence levels

Cited in

(10)

• Inference for mean change-point in infinite variance \(AR(p)\) process
• A lower confidence bound for the change point after a sequential CUSUM test
• Detecting changes in a multiparameter exponential family by using adaptive CUSUM procedure
• A change-point problem and inference for segment signals
• Hybrid regions for post-change mean in a sequence of normal variables
• On the biases of change point and change magnitude estimation after CUSUM test
• Inference for post-change parameters after sequential CUSUM test under AR(1) model
• Inference for change point and post change means after a CUSUM test.
• Inference on the change point estimator of variance in measurement error models
• Inference for post-change mean by a CUSUM procedure

This page was built for publication: Inference for Change-Point and Post-Change Mean with Possible Change in Variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697358)