Average run lengths of an optimal method of detecting a change in distribution (Q1095542)
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scientific article; zbMATH DE number 4028676
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Average run lengths of an optimal method of detecting a change in distribution |
scientific article; zbMATH DE number 4028676 |
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Average run lengths of an optimal method of detecting a change in distribution (English)
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1987
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The author, Ann. Stat. 13, 206-227 (1985; Zbl 0573.62074), gave a second- order asymptotically optimal solution to the classical change point problem. In the present paper, he dicusses asymptotic operating characteristics of this and related procedures. Asymptotic expressions for the expected stopping times are obtained. A Monte Carlo study made for the normal model with unit variance indicated that the asymptotic expressions are very good approximations, even when the expected sample sizes are small.
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average run lengths
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asymptotic operating characteristics
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Asymptotic expressions
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expected stopping times
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Monte Carlo study
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approximations
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