Sequential detection of a change in a normal mean when the initial value is unknown

DOI10.1214/aos/1176347990zbMath0732.62080OpenAlexW2059529543MaRDI QIDQ808596

Moshe Pollak, David O. Siegmund

Publication date: 1991

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347990

zbMATH Keywords

change-point problemmeanlikelihood ratio statisticsasymptotic formulasstopping rulesmaximal invariantCUSUM testtraining sampleMonte Carlo experimentsasymptotic approximationsaverage run lengthgroup of transformationssequential detectionindependent normal variables

Mathematics Subject Classification ID

Sequential statistical analysis (62L10)

Related Items

Optimal changepoint tests for normal linear regression, A rule of thumb: run lengths to false alarm of many types of control charts run in parallel on dependent streams are asymptotically independent, Statistical Surveillance. Optimality and Methods, False discovery rate approach to dynamic change detection, Real-Time Regression Analysis of Streaming Clustered Data With Possible Abnormal Data Batches, A generalized cusum procedure for sequential detection of change-point in a parametric family when the initial parameter is unknown, Performance comparison of some likelihood ratio-based statistical surveillance methods, Set estimation and nonparametric detection, Bayesian change points analysis for earthquakes body wave magnitude, Is Average Run Length to False Alarm Always an Informative Criterion?, Sequential Change-Point Detection Procedures That are Nearly Optimal and Computationally Simple, Sequential Change-Point Detection When the Pre- and Post-Change Parameters are Unknown, Guaranteed maximum likelihood splitting tests of a linear regression model, Sequential change-point detection when unknown parameters are present in the pre-change distribution, Guaranteed testing for epidemic changes of a linear regression model, A double recursion for calculating moments of the truncated normal distribution and its connection to change detection, On the average run length to false alarm in surveillance problems which possess an invariance structure, Nonparametric control chart based on change-point model, An Adaptive Shiryaev–Roberts Procedure for Signalling Varying Location Shifts, A Bayesian Approach to Sequential Surveillance in Exponential Families, Nonanticipating estimation applied to sequential analysis and changepoint detection