Martingale Type Statistics Applied to Change Points Detection

DOI10.1080/03610920701713385zbMath1196.62109OpenAlexW1974696624MaRDI QIDQ3634526

Albert Vexler

Publication date: 25 June 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701713385

zbMATH Keywords

martingalemaximum likelihoodchange pointCUSUM statisticsAR(1) modelepidemic alternativeShiryayev-Roberts statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Monte Carlo methods (65C05) Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05)

Related Items (7)

Universal inference ⋮ The CUSUM statistics of change-point models based on dependent sequences ⋮ Retrospective change detection for binary time series models ⋮ An Optimal Retrospective Change Point Detection Policy ⋮ Retrospective Change Point Detection: From Parametric to Distribution Free Policies ⋮ Density-Based Empirical Likelihood Ratio Change Point Detection Policies ⋮ Generalized Poisson integer-valued autoregressive processes with structural changes

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