A lower confidence bound for the change point after a sequential CUSUM test

DOI10.1016/S0378-3758(02)00147-7zbMath1016.62091OpenAlexW2031481152MaRDI QIDQ1395892

Keyue Ding

Publication date: 1 July 2003

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(02)00147-7

zbMATH Keywords

random walkrenewal theoremdetecting change in variancestandard one parameter exponential family

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Sequential Detection and Estimation of Change-Points ⋮ On the biases of change point and change magnitude estimation after CUSUM test

Cites Work

• Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean
• Sequential analysis. Tests and confidence intervals
• Optimal stopping times for detecting changes in distributions
• On moments of the first ladder height of random walks with small drift
• The equivalence of absorbing and reflecting barrier problems for stochastically monotone Markov processes
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes
• Corrected diffusion approximations in certain random walk problems
• Cusum procedure for monitoring variability
• PROPERTIES OF THE MINIMUM POINT OF AN UNBALANCED TWO-SIDED RANDOM WALK
• Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test
• Procedures for Reacting to a Change in Distribution
• CONTINUOUS INSPECTION SCHEMES

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