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Power of the MOSUM test for online detection of a transient change in mean

Noonan, Jack and Zhigljavsky, Anatoly 2020. Power of the MOSUM test for online detection of a transient change in mean. Sequential Analysis 39 (2) , pp. 269-293. 10.1080/07474946.2020.1767406

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Abstract

In this article we discuss an online moving sum (MOSUM) test for detection of a transient change in the mean of a sequence of independent and identically distributed (i.i.d.) normal random variables. By using a well-developed theory for continuous time Gaussian processes and subsequently correcting the results for discrete time, we provide accurate approximations for the average run length (ARL) and power of the test. We check theoretical results against simulations, compare the power of the MOSUM test with that of the cumulative sum (CUSUM), and briefly consider the cases of nonnormal random variables and weighted sums.

Item Type: Article
Date Type: Published Online
Status: Published
Schools: Mathematics
Publisher: Taylor & Francis: STM, Behavioural Science and Public Health Titles
ISSN: 0747-4946
Date of Acceptance: 18 January 2020
Last Modified: 15 Sep 2020 11:30
URI: http://orca.cf.ac.uk/id/eprint/134852

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