Abstract
We study sequential detection of a change-point using the generalized likelihood ratio statistic. For the special case of detecting a change in a normal mean with known variance, we give approximations to the average run lengths and compare our procedure to standard CUSUM tests and combined CUSUM-Shewhart tests. Several examples indicating extensions to problems involving multiple parameters are discussed.
Citation
D. Siegmund. E. S. Venkatraman. "Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point." Ann. Statist. 23 (1) 255 - 271, February, 1995. https://doi.org/10.1214/aos/1176324466
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