Nonparametric Change-Point Problems and Optimal Nested Plans
| Autor: | Yan Lumelskii, Paul D. Feigin |
|---|---|
| Rok vydání: | 2012 |
| Předmět: |
Mathematical optimization
Sequence Information Systems and Management Computation Nonparametric statistics Management Science and Operations Research Standard deviation Management of Technology and Innovation Industrial relations Test statistic Control chart Point (geometry) False alarm Business and International Management Mathematics |
| Zdroj: | Quality Technology & Quantitative Management. 9:115-135 |
| ISSN: | 1684-3703 |
| Popis: | We consider nonparametric methods for detecting a change-point in the distribution of a sequence of observations based on using nested plans. Using nonparametric tests for the inner test statistic, we develop nested plans providing fast detection of a change. Moreover, the methodology allows the computation of exact (non-asymptotic) expressions for the mean and for the standard deviation of the run length for the in-control time to false alarm. Special attention is given to finding optimal nonparametric nested plans. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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