An adaptation of Page's CUSUM test for change detection (Q2568547)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An adaptation of Page's CUSUM test for change detection |
scientific article |
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An adaptation of Page's CUSUM test for change detection (English)
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27 June 2006
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The authors consider the problem of change detection in a parametric setup. An extension of the common CUSUM test is proposed which is based on the score function and accounts for nuisance parameters. Under the null hypothesis an almost sure approximation is obtained for the sequence of test statistics by partial sums of iid random variables. The test is illustrated by an example of monitoring a nested random effects model, where changes in different parameters may occur.
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Page's CUSUM test
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Brownian motion
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restricted maximum likelihood estimator
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law of iterated logarithm
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invariance principles
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