Abstract
In this article, we propose a modified max-cumulative sum (CUSUM) procedure for detecting changes in parameters of skew normal distribution. The corresponding false alarms frequency and the postchange detection delay are investigated. Asymptotic behaviors of detection delay and theoretical optimality of the detection procedure have been established. Simulations have been conducted to show the performance of the proposed method and compare it to the other existing methods including CUSUM. Real data are given to illustrate the detection procedure.
ACKNOWLEDGMENTS
The authors are grateful to the Editor-in-Chief, Dr. Nitis Mukhopadhyay, and two anonymous reviewers for their helpful comments on improving the contents of this article.
DISCLOSURE
The authors have no conflicts of interest to report.