Using the generalized likelihood ratio statistic for sequential detection of a change-point Journal Article
| Authors: | Siegmund, D.; Venkatraman, E. S. |
| Article Title: | Using the generalized likelihood ratio statistic for sequential detection of a change-point |
| 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. |
| Keywords: | likelihood ratio; change-point; sequential detection |
| Journal Title: | Annals of Statistics |
| Volume: | 23 |
| Issue: | 1 |
| ISSN: | 0090-5364 |
| Publisher: | Institute of Mathematical Statistics |
| Date Published: | 1995-08-01 |
| Start Page: | 255 |
| End Page: | 271 |
| Language: | English |
| ACCESSION: | WOS:A1995RE61100016 |
| DOI: | 10.1214/aos/1176324466 |
| PROVIDER: | wos |
| Notes: | Article -- Source: Wos |
