Inference for post-change parameters after sequential CUSUM test under AR(1) model

DOI10.1016/J.JSPI.2015.06.006zbMATH Open1353.62090OpenAlexW833091967MaRDI QIDQ900754FDOQ900754

Publication date: 22 December 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.06.006

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zbMATH Keywords

strong renewal theorem AR(1) model corrected pivot model-based sequential CUSUM procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Applications of statistics to environmental and related topics (62P12)

Cites Work

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Monitoring Structural Change
The Effect of Serial Correlation on the Performance of CUSUM Tests
Monitoring parameter change in AR\((p)\) time series models
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Monitoring correlation change in a sequence of random variables
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ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES
EVVMA and cusum control charts in the presence of correlation
Inference for Change-Point and Post-Change Mean with Possible Change in Variance
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The effect of serial correlation on the in-control average run length of cumulative score charts
On moments of the first ladder height of random walks with small drift
Estimation after sequential testing: A simple approach for a truncated sequential probability ratio test
Bias of estimator of change point detected by a CUSUM procedure
Inference for post-change mean by a CUSUM procedure
Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes
Approximate bias calculations for sequentially designed experiments
On the bias of maximum likelihood estimation following a sequential test
Average run lengths for cusum control charts applied to residuals
Applications: CUSUM Charts for AR1 Data: are they worth the Effort?

Cited In (4)

Exploring the longevity risk using statistical tools derived from the Shiryaev-Roberts procedure
Inference for Change-Point and Post-Change Mean with Possible Change in Variance
Inference for change point and post change means after a CUSUM test.
Inference for post-change mean by a CUSUM procedure

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