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Using the generalized likelihood ratio statistic for sequential detection of a change-point. (English) Zbl 0821.62044

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.

MSC:

62L10 Sequential statistical analysis
62P30 Applications of statistics in engineering and industry; control charts
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