Log-likelihood ratio test for detecting transient change

DOI10.1016/J.SPL.2011.01.006MaRDI QIDQ633048zbMATHOpenAlexFDO

Authors D. Jarušková, V. I. Piterbarg

Publication date 31 March 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.01.006

zbMATH Keywords

asymptoticschange point detectionscan statisticsmaxima of locally homogeneous Gaussian fields

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• scientific article; zbMATH DE number 1293617 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Approximate tail probabilities for the maxima of some random fields
• Boundary-crossing probabilities of some random fields related to likelihood ratio tests for epidemic alternatives
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Large-deviation approximations to the distribution of scan statistics
• Maxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices
• Scan statistics
• Tail probabilities for the null distribution of scanning statistics
• Testing a homogeneity of stochastic processes

Cited in

(25)

• Epidemic change-point detection in general causal time series
• Likelihood ratio test for change in persistence
• Power of the scan statistic in detecting a changed segment in a Bernoulli sequence
• Boundary crossing probabilities for scan statistics and their applications to change-point detec\-tion
• Epidemic change tests for the mean of innovations of an AR(1) process
• Estimation of change-point models
• On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences
• Piterbarg theorems for chi-processes with trend
• Power of the MOSUM test for online detection of a transient change in mean
• Detecting and estimating changes in dependent functional data
• Detecting non-simultaneous changes in means of vectors
• Extremes on different grids and continuous time of stationary processes
• Tail asymptotic behavior of the supremum of a class of chi-square processes
• On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
• Almost sure central limit theorems for the maxima of Gaussian functions
• Detection of transient change in mean -- a linear behavior inside epidemic interval
• On maxima of chi-processes over threshold dependent grids
• Testing for multiple change points
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• Epidemic change-point detection in general integer-valued time series
• Extremes of locally stationary chi-square processes with trend
• Testing for epidemic changes in the mean of a multiparameter stochastic process
• Change-point detection and bootstrap for Hilbert space valued random fields
• Detecting anomalies in fibre systems using 3-dimensional image data
• Sequential detection of transient changes

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