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Wir sind gerne für Sie daThe change-point problem has attracted many statistical researchers and practitioners during the last few decades. Here, we only concentrate on the sequential change-point problem. Starting from the Shewhart chart with app- cations to quality control [see Shewhart (1931)], several monitoring procedures have been developed for a quick detection of change. The three most studied monitoring procedures are the CUSUM procedure [Page (1954)], the EWMA procedure [Roberts (1959)] and the Shiryayev?Roberts procedure [Shiryayev (1963) and Roberts (1966)]. Extensive studies have been conducted on the p- formancesofthesemonitoringproceduresandcomparisonsintermsofthedelay detection time. Lai (1995) made a review on the state of the art on these charts and proposed several possible generalizations in order to detect a change in the case of the unknown post-change parameter case. In particular, a wind- limited version of the generalized likelihood ratio testing procedure studied by Siegmund and Venkatraman (1993) is proposed for a more practical treatment even when the observations are correlated. In this work, our main emphasis is on the inference problem for the chan- point and the post-change parameters after a signal of change is made. More speci?cally, due to its convenient form and statistical properties, most d- cussions are concentrated on the CUSUM procedure. Our goal is to provide some quantitative evaluations on the statistical properties of estimators for the change-point and the post-change parameters.
Produkteigenschaften
- Artikelnummer: 9780387229270
- Medium: Buch
- ISBN: 978-0-387-22927-0
- Verlag: Springer
- Erscheinungstermin: 14.01.2005
- Sprache(n): Englisch
- Auflage: 2005. Auflage 2005
- Serie: Lecture Notes in Statistics
- Produktform: Kartoniert
- Gewicht: 259 g
- Seiten: 158
- Format (B x H x T): 156 x 234 x 12 mm
- Ausgabetyp: Kein, Unbekannt