Sequential change-point detection with likelihood ratios

Edit Gombay

Statistics & Probability Letters, 2000, vol. 49, issue 2, 195-204

Abstract: We consider the problem of sequential change-point detection when the family of distributions is exponential, and distinguish between parameters of interest, and nuisance parameters. Likelihood ratios are used as test statistics, and their large sample approximations under the alternative hypothesis of change are given. Our formulae allow type II error approximations and they suggest different schemes for change detection and change-point estimation.

Keywords: Maximum; likelihood; ratio; Strong; approximation; Sequential; change-point; detection; Stochastic; process (search for similar items in EconPapers)
Date: 2000
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(00)00048-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:49:y:2000:i:2:p:195-204

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().