On Tests for Detecting Change in Mean
Procedures are considered for testing whether the means of each variable in a sequence of independent random variables can be taken to be the same, against alternatives that a shift might have occurred after some point $r$. Bayesian test statistics as well as some statistics depending on estimates of $r$ are presented and their powers compared. Exact and asymptotic distribution functions are derived for some of the Bayesian statistics.
Permanent link to this document: http://projecteuclid.org/euclid.aos/1176343001
Digital Object Identifier: doi:10.1214/aos/1176343001
Mathematical Reviews number (MathSciNet): MR362649