An extension of a change-point problem

Albert Vexler, Chengqing Wu, Aiyi Liu, Brian W. Whitcomb, Enrique F. Schisterman

Research output: Contribution to journalArticlepeer-review

Abstract

We consider a specific classification problem in the context of change-point detection. We present generalized classical maximum likelihood tests for homogeneity of the observed sample in a simple form which avoids the complex direct estimation of unknown parameters. This paper proposes a martingale approach to transformation of test statistics. For sequential and retrospective testing problems, we propose the adapted Shiryayev-Roberts statistics in order to obtain simple tests with asymptotic power one. An important application of the developed methods is in the analysis of exposure's measurements subject to limits of detection in occupational medicine.

Original languageEnglish (US)
Pages (from-to)213-225
Number of pages13
JournalStatistics
Volume43
Issue number3
DOIs
StatePublished - Jun 2009
Externally publishedYes

Keywords

  • Change-point
  • Classification
  • CUSUM statistics
  • Doob decomposition
  • Likelihood ratio
  • Limit of detection
  • Martingale
  • Martingale transforms
  • Shiryayev-Roberts statistics

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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