Asymptotic properties for the sequential cusum procedure

Vera R. Huse

Statistics & Probability Letters, 1988, vol. 7, issue 1, 73-80

Abstract: Let X1, X2,... be independent random variables. Consider the changepoint problem H0: X1, X2,... are identically distributed versus HA: exactly one changepoint occurs. Define [xi]i = Fi-l(Xi), where Fi is the empirical distribution function of the Xj. Assume H0 holds. Under appropriate conditions it is shown that for the one-sided stopping rule . Results for two-sided stopping rules and asymptotic results for the alternative hypotheses are also given.

Keywords: changepoint; problems; CUSUM; procedure; strong; approximations (search for similar items in EconPapers)
Date: 1988
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