Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point
Open Access
- 1 February 1995
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 23 (1) , 255-271
- https://doi.org/10.1214/aos/1176324466
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
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