Inference for Change Point and Post Change Means After a CUSUM Test

• Main Author: Wu, Yanhong (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2005.
• Series: Lecture Notes in Statistics, 180
• Subjects: Mathematics.; Probabilities.; Statistics.; Quality control.; Reliability.; Industrial safety.; Econometrics.; Probability Theory and Stochastic Processes.; Statistical Theory and Methods.; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.; Quality Control, Reliability, Safety and Risk.; Statistics for Business/Economics/Mathematical Finance/Insurance.

This monograph is the first to systematically study the bias of estimators and construction of corrected confidence intervals for change-point and post-change parameters after a change is detected by using a CUSUM procedure. Researchers in change-point problems and sequential analysis, time series a...

Table of Contents:

• CUSUM Procedure
• Change-Point Estimation
• Confidence Interval for Change-Point
• Inference for Post-Change Mean
• Estimation After False Signal
• Inference with Change in Variance
• Sequential Classification and Segmentation
• An Adaptive CUSUM Procedure
• Dependent Observation Case
• Other Methods and Remarks.