Inference for Change Point and Post Change Means After a CUSUM Test - Couverture souple

Livre 37 sur 72: Lecture Notes in Statistics

Wu, Yanhong

 
9780387229270: Inference for Change Point and Post Change Means After a CUSUM Test
Couverture souple
ISBN 10 : 0387229272 ISBN 13 : 9780387229270
Editeur : Springer, 2005

Synopsis

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.

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Éditeur
Springer
Date d'édition
2005
Langue
anglais
ISBN 10 
0387229272
ISBN 13 
9780387229270
Reliure
Broché
Nombre de pages
176
Coordonnées du fabricant
non disponible
Personne responsable
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