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Sequential change-point detection with likelihood ratios

✍ Scribed by Edit Gombay

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
119 KB
Volume
49
Category
Article
ISSN
0167-7152

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✦ Synopsis

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 di erent schemes for change detection and change-point estimation.

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