Detecting change in a random sequence

Cso¨rgo, Miklo´s and Lajos Horva´th

Journal of Multivariate Analysis, 1987, vol. 23, issue 1, 119-130

Abstract: We propose a sequential procedure for detecting a possible changepoint in a random sequence of observations so that we can fix the probabilty of stopping at any level if there is no change, while otherwise we will stop with probabilty one in a specified length of time.

Keywords: changepoint; problem; strong; approximations; sequential; ranks; Kiefer; process; boundary; crossing; problems (search for similar items in EconPapers)
Date: 1987
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