Detection and estimation of abrupt changes in the variability of a process

DOI10.1016/S0167-9473(01)00108-6zbMath0990.62095MaRDI QIDQ1606091

Douglas M. Hawkins, Venkata K. Jandhyala, Stergios B. Fotopoulos

Publication date: 31 July 2002

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

estimationlikelihood ratio testquality improvementchange-point

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics in engineering and industry; control charts (62P30)

Related Items (11)

Fourier methods for analyzing piecewise constant volatilities ⋮ Sequential changepoint detection in neural networks with checkpoints ⋮ A note on Bayesian identification of change points in data sequences ⋮ Off-line testing for a changed segment in the sample variance ⋮ New EWMA control charts for monitoring process dispersion ⋮ Change Point Detection in The Skew-Normal Model Parameters ⋮ BAYESIAN IDENTIFICATION OF MULTIPLE CHANGE POINTS IN POISSON DATA ⋮ Detecting change-points for shifts in mean and variance using fuzzy classification maximum likelihood change-point algorithms ⋮ Computation of the run-length percentiles of CUSUM control charts under changes in variances ⋮ APPLYING THE PRODUCT PARTITION MODEL TO THE IDENTIFICATION OF MULTIPLE CHANGE POINTS ⋮ Change-Point Detection for Variance Piecewise Constant Models

Cites Work

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• Testing and Locating Variance Changepoints with Application to Stock Prices
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• Testing for a Two-Phase Multiple Regression
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• Inference about the change-point in a sequence of random variables
• The Calculation of Distributions of Two-Sided Kolmogorov-Smirnov Type Statistics
• Time-ordered classification

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