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 |
Official URL: http://dx.doi.org/10.1080/07474946.2020.1767406
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 |
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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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