Online change-point detection for a transient change

Noonan, Jack 2023. Online change-point detection for a transient change. Statistics and Its Interface 16 (2) , pp. 163-179. 10.4310/21-SII718

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Abstract

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.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Publisher:	International Press
ISSN:	1938-7989
Date of First Compliant Deposit:	14 April 2022
Date of Acceptance:	24 December 2021
Last Modified:	08 Nov 2023 02:45
URI:	https://orca.cardiff.ac.uk/id/eprint/149198

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