| Inference for Change Point and Post Change Means After a Cusum Test 2005 Edition Contributor(s): Wu, Yanhong (Author) |
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ISBN: 0387229272 ISBN-13: 9780387229270 Publisher: Springer OUR PRICE: $52.24 Product Type: Paperback - Other Formats Published: January 2005 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Business & Economics | Statistics - Technology & Engineering | Industrial Engineering |
| Dewey: 519.5 |
| Series: Lecture Notes in Statistics |
| Physical Information: 0.4" H x 6" W x 8.9" (0.55 lbs) 158 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: The 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. |