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February, 1995 Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point
D. Siegmund, E. S. Venkatraman
Ann. Statist. 23(1): 255-271 (February, 1995). DOI: 10.1214/aos/1176324466

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.

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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

Information

Published: February, 1995
First available in Project Euclid: 11 April 2007

zbMATH: 0821.62044
MathSciNet: MR1331667
Digital Object Identifier: 10.1214/aos/1176324466

Subjects:
Primary: 62L10

Rights: Copyright © 1995 Institute of Mathematical Statistics

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Vol.23 • No. 1 • February, 1995
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