Statistics and Its Interface

Volume 16 (2023)

Number 2

Special issue on recent developments in complex time series analysis – Part II

Guest editors: Robert T. Krafty (Emory Univ.), Guodong Li (Univ. of Hong Kong), Anatoly Zhigljavsky (Cardiff Univ.)

Online change-point detection for a transient change

Pages: 163 – 179

DOI: https://dx.doi.org/10.4310/21-SII718

Author

Jack Noonan (School of Mathematics, Cardiff University, Cardiff, United Kingdom)

Abstract

We consider a popular online change-point problem of detecting a transient change in distributions of independent random variables. For this change-point problem, several change-point procedures are formulated and some advanced results for a particular procedure are surveyed. Some new approximations for the average run length to false alarm are offered and the power of these procedures for detecting a transient change in mean of a sequence of normal random variables is compared.

Keywords

change-point detection, statistical quality control, boundary crossing probabilities

2010 Mathematics Subject Classification

Primary 60G35, 60G50. Secondary 60G70, 93E20, 94C12.

Full Text (PDF format)

This work was partially supported by EPSRC grant EP/M024830.

Received 6 April 2021

Accepted 24 December 2021

Published 13 April 2023