Overview
- The main emphasis is on the inference problem for the change point and post-change parameters after a change has been detected
- More specifically, due to the convenient form and statistical properties, the author concentrates on the CUSUM procedure
- The goal is to provide some quantitative evaluations on the statistical properties of estimators on the change point and post-change parameters
- Includes supplementary material: sn.pub/extras
Part of the book series: Lecture Notes in Statistics (LNS, volume 180)
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Table of contents (10 chapters)
Keywords
About this book
Reviews
From the reviews:
"Overall, I recommend the book to anyone working in the area of sequential analysis." Journal of the American Statistical Association, June 2006
"The goal of the author is to provide some quantitative evaluations on the statistical properties of estimators for change-point and post-change parameters after a signal of change is made. Most discussions are concentrated on the CUSUM procedure. … The presentation is formal, all results are presented with proofs. Additionally, several case studies are included." (R. Schlittgen, Zentralblatt MATH, Vol. 1067, 2005)
"This monograph is the first to systematically study the bias of estimators and the construction of corrected confidence intervals for change-point and post-change parameters after a change is detected by using a CUSUM procedure. … Practitioners who are interested in applications to quality control, dynamical systems, financial markets, clinical trials and other areas will benefit … . Readers with an elementary probability and statistics background and some knowledge of CUSUM procedures will be able to understand most results, as the material is relatively self-contained." (Lian Fen Qian, Mathematical Reviews, 2006 i)
Authors and Affiliations
Bibliographic Information
Book Title: Inference for Change Point and Post Change Means After a CUSUM Test
Authors: Yanhong Wu
Series Title: Lecture Notes in Statistics
DOI: https://doi.org/10.1007/b100107
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag New York 2005
Softcover ISBN: 978-0-387-22927-0Published: 14 January 2005
eBook ISBN: 978-0-387-26269-7Published: 29 December 2007
Series ISSN: 0930-0325
Series E-ISSN: 2197-7186
Edition Number: 1
Number of Pages: XIII, 158
Topics: 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, Management, Economics, Finance, Insurance, Econometrics