USING THE GENERALIZED LIKELIHOOD RATIO STATISTIC FOR SEQUENTIAL DETECTION OF A CHANGE-POINT
成果类型：
Article
署名作者：
SIEGMUND, D; VENKATRAMAN, ES
署名单位：
Memorial Sloan Kettering Cancer Center
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
DOI：
10.1214/aos/1176324466
发表日期：
1995
页码：
255-271
关键词：
摘要：
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.