Statistics and Its Interface
Volume 16 (2023)
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
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.
change-point detection, statistical quality control, boundary crossing probabilities
2010 Mathematics Subject Classification
Primary 60G35, 60G50. Secondary 60G70, 93E20, 94C12.
This work was partially supported by EPSRC grant EP/M024830.
Received 6 April 2021
Accepted 24 December 2021
Published 13 April 2023