Estimation of Change-point and Post-change Parameters after Adaptive Sequential CUSUM Test in an Exponential Family
- Yanhong Wu
AbstractIn this paper, we consider an adaptive sequential CUSUM procedure in an exponential family where the change-point and post-change parameters are estimated adaptively. It is shown that the adaptive CUSUM procedure is efficient at the first order. The conditional biases of the estimation for the change-point and post-change parameter are studied. Comparison with the classical CUSUM procedure in the normal case is made. Nile river flow and average global temperature data sets are used for demonstration.
This work is licensed under a Creative Commons Attribution 4.0 License.
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