Siegmund, D.; Venkatraman, E. S. Using the generalized likelihood ratio statistic for sequential detection of a change-point. (English) Zbl 0821.62044 Ann. Stat. 23, No. 1, 255-271 (1995). Summary: We study sequential detection of a change-point using the generalized likelihood ratio statistic. For the special case of detecting a change in a normal mean with known variance, we give approximations to the average run lengths and compare our procedure to standard CUSUM tests and combined CUSUM-Shewhart tests. Several examples indicating extensions to problems involving multiple parameters are discussed. Cited in 71 Documents MSC: 62L10 Sequential statistical analysis 62P30 Applications of statistics in engineering and industry; control charts Keywords:sequential detection; change-point; generalized likelihood ratio statistic; normal mean; approximations to the average run lengths; CUSUM tests; combined CUSUM-Shewhart tests PDFBibTeX XMLCite \textit{D. Siegmund} and \textit{E. S. Venkatraman}, Ann. Stat. 23, No. 1, 255--271 (1995; Zbl 0821.62044) Full Text: DOI