Abstract
A simple sequential procedure is proposed for detection of a change in distribution when a training sample with no change is available. Its properties under both null and alternative hypothesis are studied and possible modifications are discussed. Theoretical results are accompanied by a simulation study.
Information
Published: 1 January 2010
First available in Project Euclid: 29 November 2010
Digital Object Identifier: 10.1214/10-IMSCOLL710
Subjects:
Primary:
62E20
,
62G20
,
62L10
Keywords:
change in distribution
,
sequential monitoring
Rights: Copyright © 2010, Institute of Mathematical Statistics
