Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point
Siegmund, D. ; Venkatraman, E. S.
Ann. Statist., Tome 23 (1995) no. 6, p. 255-271 / Harvested from Project Euclid
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We study sequential detection of a change-point using the generalized likelihood ratio statistic. For the special case of detecting a change in a normal mean with known variance, we give approximations to the average run lengths and compare our procedure to standard CUSUM tests and combined CUSUM-Shewhart tests. Several examples indicating extensions to problems involving multiple parameters are discussed.
Publié le : 1995-02-14
Classification:  Change-point,  likelihood ratio,  sequential detection,  62L10 
@article{1176324466,
     author = {Siegmund, D. and Venkatraman, E. S.},
     title = {Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point},
     journal = {Ann. Statist.},
     volume = {23},
     number = {6},
     year = {1995},
     pages = { 255-271},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176324466}
}

Siegmund, D.; Venkatraman, E. S. Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point. Ann. Statist., Tome 23 (1995) no. 6, pp.  255-271. http://gdmltest.u-ga.fr/item/1176324466/