False Alarms and Sparse Change Segment Detection by Using a CUSUM Procedure

DOI10.1080/07474940701620766zbMath1124.62053OpenAlexW2000574878MaRDI QIDQ5431468

Yanhong Wu

Publication date: 10 December 2007

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474940701620766

zbMATH Keywords

change pointconditional random walkcorrected normal approximationfalse and true alarmpostchange mean

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

Related Items (1)

Sequential Common Change Detection and Isolation of Changed Panels in Panel Data

Cites Work

• Sequential analysis. Tests and confidence intervals
• On moments of the first ladder height of random walks with small drift
• Inference for change point and post change means after a CUSUM test.
• Bias of estimator of change point detected by a CUSUM procedure
• On conditioning a random walk to stay nonnegative
• Inference for post-change mean by a CUSUM procedure
• Estimation after sequential testing: A simple approach for a truncated sequential probability ratio test
• Inference about the change-point from cumulative sum tests
• CONTINUOUS INSPECTION SCHEMES

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