A note on online change point detection

We investigate sequential change point estimation and detection in univariate nonparametric settings, where a stream of independent observations from sub-Gaussian distributions with a common variance factor and piecewise-constant but otherwise unknown means are collected. We develop a simple CUSUM-b...

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Bibliographic Details
Published inSequential analysis Vol. 42; no. 4; pp. 438 - 471
Main Authors Yu, Yi, Madrid Padilla, Oscar Hernan, Wang, Daren, Rinaldo, Alessandro
Format Journal Article
LanguageEnglish
Published Philadelphia Taylor & Francis 02.10.2023
Taylor & Francis Ltd
Subjects
cumulative sum statistics
False alarms
Minimax technique
Nonparametric statistics
Normal distribution
Online change point detection
Statistical analysis
Online AccessGet full text
ISSN0747-4946
1532-4176
DOI10.1080/07474946.2023.2276170

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