Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point

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Abstract

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.

Topics & Keywords

Advanced Statistical Process Monitoring Scientific Measurement and Uncertainty Evaluation Advanced Statistical Methods and Models

Publication Details

Published in: The Annals of Statistics

Volume 23, Issue 1

DOI: 10.1214/aos/1176324466

Field-Weighted Citation Impact: 3.39

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Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point

Authors

Abstract

Topics & Keywords

Publication Details