An Efficient Sequential Nonparametric Scheme for Detecting a Change of Distribution
An Efficient Sequential Nonparametric Scheme for Detecting a Change of Distribution
复制标题
用于检测分布变化的有效序列非参数方案
DOI：
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发表时间：
1994
期刊：
影响因子：
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通讯作者：
M. Pollak
中科院分区：
文献类型：
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作者：
L. Gordon;M. Pollak
而且非常高效。该方法基于观测值的符号和秩的顺序向量。方法为似然比法；计算这些向量的似然比序列，然后应用Shiryayev-Roberts方法进行变点检测，从而产生一类统计量和相关的停止规则。给出了这些规则的操作特征的不等式和渐近逼近。这些方法也适用于较小的平均运行长度和早期的变更点。这些方案的相对效率（相对于正常的参数位移检测策略）非常高，使它们成为参数方法的鲁棒替代方案。
ble and remarkably efficient. The method is based on the sequential vectors of signs and ranks of the observations. The methodology is one of likelihood ratio; a sequence of likelihood ratios for these vectors is computed, and the Shiryayev-Roberts approach to changepoint detection is then applied to yield a class of statistics and associated stopping rules. Inequalities and asymptotic approximations for the operating characteristics of these rules are developed. These are found to be valid also for small average run lengths and early changepoints as well. The relative efficiency of these schemes (with respect to a normal parametric shift detection policy) is very high, making them a robust alternative to parametric methof.s.