Statistics and Its Interface

Volume 16 (2023)

Number 2

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

DOI: https://dx.doi.org/10.4310/21-SII718

Author

Jack Noonan (School of Mathematics, Cardiff University, Cardiff, United Kingdom)

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.

Keywords

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