Sequential change-point detection with likelihood ratios

被引：17
|
作者：
Gombay, E [1 ]
机构：
[1] Univ Alberta, Dept Math Sci, Edmonton, AB T6G 2G1, Canada
来源：
STATISTICS & PROBABILITY LETTERS | 2000年 / 49卷 / 02期
关键词：
maximum likelihood ratio; strong approximation; sequential change-point detection; stochastic process;
D O I：
10.1016/S0167-7152(00)00048-1
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider the problem of sequential change-point detection when the family of distributions is exponential, and distinguish between parameters of interest, and nuisance parameters. Likelihood ratios are used as test statistics, and their large sample approximations under the alternative hypothesis of change are given. Our formulae allow type II error approximations and they suggest different schemes for change detection and change-point estimation. (C) 2000 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：195 / 204
页数：10
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