The Annals of Statistics

Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point

D. Siegmund and E. S. Venkatraman

Full-text: Open access

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.

Article information

Source
Ann. Statist., Volume 23, Number 1 (1995), 255-271.

Dates
First available in Project Euclid: 11 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176324466

Digital Object Identifier
doi:10.1214/aos/1176324466

Mathematical Reviews number (MathSciNet)
MR1331667

Zentralblatt MATH identifier
0821.62044

JSTOR
links.jstor.org

Subjects
Primary: 62L10: Sequential analysis

Keywords
Change-point likelihood ratio sequential detection

Citation

Siegmund, D.; Venkatraman, E. S. Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point. Ann. Statist. 23 (1995), no. 1, 255--271. doi:10.1214/aos/1176324466. https://projecteuclid.org/euclid.aos/1176324466


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