The Annals of Statistics

On Tests for Detecting Change in Mean

Abstract

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.

Article information

Source
Ann. Statist. Volume 3, Number 1 (1975), 98-108.

Dates
First available in Project Euclid: 12 April 2007

http://projecteuclid.org/euclid.aos/1176343001

Digital Object Identifier
doi:10.1214/aos/1176343001

Mathematical Reviews number (MathSciNet)
MR362649

JSTOR