Universität zu Köln

Fremdt, Stefan (2014). Asymptotic distribution of the delay time in page's sequential procedure. J. Stat. Plan. Infer., 145. S. 74 - 92. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1873-1171

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Abstract

In this paper the asymptotic distribution of the stopping time in Page's sequential cumulative sum (CUSUM) procedure is presented. Page as well as ordinary cumulative sums are considered as detectors for changes in the mean of observations satisfying a weak invariance principle. The main results on the stopping times derived from these detectors extend a series of results on the asymptotic normality of stopping times of CUSUM-type procedures. In particular the results quantify the superiority of the Page CUSUM procedure to ordinary CUSUM procedures in late change scenarios. The theoretical results are illustrated by a small simulation study, including a comparison of the performance of ordinary and Page CUSUM detectors. (C) 2013 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Fremdt, Stefan UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-448016
DOI:	10.1016/j.jspi.2013.09.001
Journal or Publication Title:	J. Stat. Plan. Infer.
Volume:	145
Page Range:	S. 74 - 92
Date:	2014
Publisher:	ELSEVIER SCIENCE BV
Place of Publication:	AMSTERDAM
ISSN:	1873-1171
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language LINEAR-MODELS; REGRESSION Multiple languages Statistics & Probability Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/44801