Inference for Change Point and Post Change Means After a CUSUM Test
This monograph is the first to systematically study the bias of estimators and construction of corrected confidence intervals for change-point and post-change parameters after a change is detected by using a CUSUM procedure. Researchers in change-point problems and sequential analysis, time series a...
Enregistré dans:
| Auteur principal: | |
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| Format: | Livre numérique |
| Langue: | Anglais |
| Publié: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| Édition: | 1st ed. 2005. |
| Collection: | Lecture Notes in Statistics
180 |
| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Mathematical analysis and numerical methods for science and technology, 1, physical origins and classical methods, Robert Dautray, Jacques-Louis Lions, Berlin, Springer, 1990, 1 vol. (XVII-695 p.), 3-540-50207-6 • Inference for change-point and post-change means after a CUSUM test, Yanhong Wu, 2005, New York, Springer, 1 vol. (XIII-158 p.), Lecture notes in statistics, 0-387-22927-2 • Mathematical analysis and numerical methods for science and technology, 1, physical origins and classical methods, Robert Dautray, Jacques-Louis Lions, Berlin, Springer, 1990, 1 vol. (XVII-695 p.), 3-540-50207-6 • Inference for change-point and post-change means after a CUSUM test, Yanhong Wu, 2005, New York, Springer, 1 vol. (XIII-158 p.), Lecture notes in statistics, 0-387-22927-2 |
| Résumé: | This monograph is the first to systematically study the bias of estimators and construction of corrected confidence intervals for change-point and post-change parameters after a change is detected by using a CUSUM procedure. Researchers in change-point problems and sequential analysis, time series and dynamic systems, and statistical quality control will find that the methods and techniques are mostly new and can be extended to more general dynamic models where the structural and distributional parameters are monitored. Practitioners, who are interested in applications to quality control, dynamic systems, financial markets, clinical trials and other areas, will benefit from case studies based on data sets from river flow, accident interval, stock prices, and global warming. 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. The exponential family distribution is used as the basic model that includes changes in mean, variance, and hazard rate as special cases. There are fundamental differences between the sequential sampling plan and fixed sample size. Although the results are given under the CUSUM procedure, the methods and techniques discussed provide new approaches to deal with inference problems after sequential change-point detection, and they also contribute to the theoretical aspects of sequential analysis. Many results are of independent interests and can be used to study random walk related stochastic models. Yanhong Wu is a visiting lecturer in statistics at the University of the Pacific. Previously, he was a visiting associate professor at the University of Michigan and an assistant professor at the University of Alberta. He has published more than forty research papers on the topics of change-point problem, quality control, mixture models, risk theory, and reliability mathematics. He was the receiver of Pierre-Robillard Award from the Canadian Statistical Society. . |
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| Description: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9780387262697 |
| ISSN: | 2197-7186 |
| Accès: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |