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Inference for Change Point and Post Change Means After a Cusum Test

Inference for Change Point and Post Change Means After a Cusum Test

          
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About the Book

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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Product Details
  • ISBN-13: 9780387229270
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Edition: 2005 ed.
  • Language: English
  • Returnable: N
  • Spine Width: 10 mm
  • Width: 152 mm
  • ISBN-10: 0387229272
  • Publisher Date: 01 Jan 2005
  • Binding: Paperback
  • Height: 226 mm
  • No of Pages: 158
  • Series Title: Lecture Notes in Statistics
  • Weight: 258 gr


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