Sequential Change-Point Detection and Estimation

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Sequential Change-Point Detection and Estimation

机译：顺序变化点检测和估计

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摘要

Two groups of sequential testing procedures are proposed to detect an abrupt change in the distribution of a sequence of observations: truncated and open ended. They are based on large sample strong approximations of the efficient score vector under the null hypothesis of no change and under the alternative hypothesis. An estimator of the time of change is proposed and its approximate bias is analyzed. The estimation of the new parameters that describe the changed distribution naturally follows.

机译：建议使用两组顺序测试程序来检测一系列观测结果的突变：截断和开放式。它们基于无变化的原假设和替代假设下有效得分向量的大样本强近似值。提出了变化时间的估计器，并分析了其近似偏差。自然地，将描述描述变化分布的新参数。

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来源
《Sequential analysis》 |2003年第3期|p.203-222|共20页
作者
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作者单位

Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Alberta, Canada T6G 2G1;

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原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
sequential tests; change detection; strong approximations; efficient score vector; exponential family;

机译：顺序测试;变化检测;强逼近;有效得分向量;指数族;

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2. A Novel Approach to Detection of Intrusions in Computer Networks via Adaptive Sequential and Batch-Sequential Change-Point Detection Methods [J] . Alexander G. Tartakovsky, Boris L. Rozovskii, Rudolf B. Blazek, IEEE Transactions on Signal Processing . 2006,第9期

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3. Structural Damage Detection and Localization with Unknown Postdamage Feature Distribution Using Sequential Change-Point Detection Method [J] . Liao Yizheng, Kiremidjian Anne S., Rajagopal Ram, Journal of aerospace engineering . 2019,第2期

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5. Sequential Change-Point Detection in Linear Regression and Linear Quantile Regression Models Under High Dimensionality [D] . Ratnasingam, Suthakaran. 2020

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6. Sequential Change-Point Detection via Online Convex Optimization [O] . Yang Cao, Liyan Xie, Yao Xie, 2018

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7. A novel approach to detection of intrusions in computer networks via adaptive sequential and batch-sequential change-point detection methods [O] . Er G. Tartakovsky, Senior Member, Boris L. Rozovskii, 2006

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8. Dynamic Programming, Sequential Estimation and Sequential Detection Processes [R] . Bellman, R., Kalaba, R., Middleton, D. 1960

机译：动态规划，顺序估计和顺序检测过程

Sequential Change-Point Detection and Estimation

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