The change-point problem has attracted many statistical researchers and practitioners during the last few decades. Here, we only concentrate on the sequential change-point problem. Starting from the Shewhart chart with app- cations to quality control [see Shewhart (1931)], several monitoring procedures have been developed for a quick detection of change.
The three most studied monitoring procedures are the CUSUM procedure [Page (1954)], the EWMA procedure [Roberts (1959)] and the Shiryayev?Roberts procedure [Shiryayev (1963) and Roberts (1966)]. Extensive studies have been conducted on the p- formancesofthesemonitoringproceduresandcomparisonsintermsofthedelay detection time. Lai (1995) made a review on the state of the art on these charts and proposed several possible generalizations in order to detect a change in the case of the unknown post-change parameter case.
In particular, a wind- limited version of the generalized likelihood ratio testing procedure studied by Siegmund and Venkatraman (1993) is proposed for a more practical treatment even when the observations are correlated. In this work, our main emphasis is on the inference problem for the chan- point and the post-change parameters after a signal of change is made. More speci?cally, due to its convenient form and statistical properties, most d- cussions are concentrated on the CUSUM procedure.
Our goal is to provide some quantitative evaluations on the statistical properties of estimators for the change-point and the post-change parameters.
| ISBN: | 9780387229270 |
| Publication date: | 14th January 2005 |
| Author: | Yanhong Wu |
| Publisher: | Springer an imprint of Springer New York |
| Format: | Paperback |
| Pagination: | 158 pages |
| Series: | Lecture Notes in Statistics |
| Genres: |
Probability and statistics Stochastics Security and fire alarm systems Econometrics and economic statistics Economics, Finance, Business and Management |
The change-point problem has attracted many statistical researchers and practitioners during the last few decades. Here, we only concentrate on the sequential change-point problem.
Inference for Change-Point and Post-Change Means After a CUSUM Test features in the following genres: Probability and statistics, Stochastics, Security and fire alarm systems, Econometrics and economic statistics, Economics, Finance, Business and Management
Paperback. Not Available.
Inference for Change-Point and Post-Change Means After a CUSUM Test was written by Yanhong Wu and published by Springer an imprint of Springer New York
Inference for Change-Point and Post-Change Means After a CUSUM Test has 158 pages
Yes it is part of Lecture Notes in Statistics series