Accurate tests and intervals based on linear cusum statistics

Christopher S. Withers and Saralees Nadarajah

Statistics & Probability Letters, 2009, vol. 79, issue 5, 689-697

Abstract: Suppose that we are monitoring incoming observations for a change in mean via a cusum test statistic. The usual nonparametric methods give first and second order approximations for the one- and two-sided cases. We show how to improve the order of these approximations for linear statistics.

Date: 2009
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