Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic

DOI10.1214/21-EJS1840zbMath1471.62341arXiv2007.08369OpenAlexW3159173335MaRDI QIDQ2044378

Ivan Kojadinovic, Mark P. Holmes

Publication date: 9 August 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.08369

zbMATH Keywords

change-point detectionsequential testingonline monitoringopen-end procedures

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Sequential estimation (62L12)

Related Items

Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function

Uses Software

• R
• npcp

Cites Work

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• Page's sequential procedure for change-point detection in time series regression