Online change-point detection for a transient change
Statistics Theory
2021-04-08 v1 Statistics Theory
Abstract
We consider a popular online change-point problem of detecting a transient change in distributions of i.i.d. 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.
Cite
@article{arxiv.2104.02734,
title = {Online change-point detection for a transient change},
author = {Jack Noonan},
journal= {arXiv preprint arXiv:2104.02734},
year = {2021}
}