Articlebronze1975

On Tests for Detecting Change in Mean

355 citations0/0 files storedThe Annals of Statistics

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Advanced Statistical Process Monitoring Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

Procedures are considered for testing whether the means of each variable in a sequence of independent random variables can be taken to be the same, against alternatives that a shift might have occurred after some point $r$. Bayesian test statistics as well as some statistics depending on estimates of $r$ are presented and their powers compared. Exact and asymptotic distribution functions are derived for some of the Bayesian statistics.

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References

1970Inference About the Change-Point in a Sequence of Random Variables 1955A Test for a Change in a Parameter Occurring at an Unknown Point 1964Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time 1959Control Charts and Stochastic Processes

Cited by

1977Testing a Sequence of Observations for a Shift in Location 1997Testing and Locating Variance Changepoints with Application to Stock Prices 2014Multiscale Change Point Inference 1983SURVEY OF CLASSICAL AND BAYESIAN APPROACHES TO THE CHANGE-POINT PROBLEM: FIXED SAMPLE AND SEQUENTIAL PROCEDURES OF TESTING AND ESTIMATION11Research supported in part by ONR Contracts N00014-75-0725 at The George Washington University and N00014-81-K-0407 at SUNY-Binghamton.1993The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations 2013Inference for single and multiple change‐points in time series 198820 Nonparametric methods for changepoint problems 2011Analysis of changepoint models

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