| Автор | Bhattacharya, P.K. |
| Автор | Zhou, Hong |
| Дата выпуска | 1996 |
| dc.description | A generalized CUSUM procedure is constructed for sequential detection of a specified amount of change within a multi-parameter family of distributions when the initial value of the parameter is unknown. The stopping time of the procedure is defined on a doubly-indexed stochastic process whose asymptotics are studied in terms of its weak convergence properties when there is no change and when there is a contiguous change. Analogous results are also obtained for the Page-CUSUM procedure with known initial parameter. To account for misspecification of models, the results are derived for the case when the procedures are based on a form of distribution which is different from the true one. It is seen how the drift term which sets in after a change occurs, and drives the underlying stochastic process towards the decision boundary, slows down under model misspecification for both the Page-CUSUM and the generalized CUSUM procedures. |
| Формат | application.pdf |
| Издатель | Marcel Dekker, Inc. |
| Копирайт | Copyright Taylor and Francis Group, LLC |
| Тема | Cusum |
| Тема | change-point |
| Тема | sequential detection |
| Название | A generalized cusum procedure for sequential detection of change-point in a parametric family when the initial parameter is unknown |
| Тип | research-article |
| DOI | 10.1080/07474949608836367 |
| Electronic ISSN | 1532-4176 |
| Print ISSN | 0747-4946 |
| Журнал | Sequential Analysis |
| Том | 15 |
| Первая страница | 311 |
| Последняя страница | 325 |
| Аффилиация | Bhattacharya, P.K.; Division of Statistics, University of California |
| Аффилиация | Zhou, Hong; Division of Statistics, University of California |
| Выпуск | 4 |
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