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| book details |
Inference for Change Point and Post Change Means After a CUSUM Test
By (author) Yanhong Wu
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normal price: R 2 114.95
Price: R 1 903.95
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| book description |
The change-point problem has attracted many statistical researchers and practitioners during the last few decades. Here, we only concentrate on the sequential change-point problem. Starting from the Shewhart chart with app- cations to quality control [see Shewhart (1931)], several monitoring procedures have been developed for a quick detection of change. The three most studied monitoring procedures are the CUSUM procedure [Page (1954)], the EWMA procedure [Roberts (1959)] and the Shiryayev?Roberts procedure [Shiryayev (1963) and Roberts (1966)]. Extensive studies have been conducted on the p- formancesofthesemonitoringproceduresandcomparisonsintermsofthedelay detection time. Lai (1995) made a review on the state of the art on these charts and proposed several possible generalizations in order to detect a change in the case of the unknown post-change parameter case. In particular, a wind- limited version of the generalized likelihood ratio testing procedure studied by Siegmund and Venkatraman (1993) is proposed for a more practical treatment even when the observations are correlated. In this work, our main emphasis is on the inference problem for the chan- point and the post-change parameters after a signal of change is made. More speci?cally, due to its convenient form and statistical properties, most d- cussions are concentrated on the CUSUM procedure. Our goal is to provide some quantitative evaluations on the statistical properties of estimators for the change-point and the post-change parameters.
| product details |
Normally shipped |
Publisher | Springer-Verlag New York Inc.
Published date | 14 Jan 2005
Language |
Format | Paperback / softback
Pages | 158
Dimensions | 235 x 155 x 0mm (L x W x H)
Weight | 0g
ISBN | 978-0-3872-2927-0
Readership Age |
BISAC | mathematics / probability & statistics / general
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