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Sequential Analysis
Design Methods and Applications
Volume 36, 2017 - Issue 4
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Original Articles

Editor’s special invited paper: On the efficient score vector in sequential monitoring

Pages 435-466 | Received 31 Dec 2015, Accepted 27 Jan 2017, Published online: 22 Jan 2018
 

ABSTRACT

The use of the efficient score statistic in sequential monitoring procedures is reviewed and analysed. Various models that arise in applications are considered. The efficient score vector has the same optimality property as the generalized likelihood ratio, but it has a simple-structure requiring fewer estimations, and this is especially important when the data have a complicated structure. Furthermore, with the efficient score vector it is possible to detect which component of the parameter vector is different from the hypothetical or the historical value. The problems we solve here were the subjects of separate publications, but with the new methodology they are easily calculated examples.

SUBJECT CLASSIFICATIONS:

Acknowledgments

The author thanks the Editor-in-Chief, Professor Nitis Mukhopadhyay, for his kind invitation, careful reading, and valuable comments to improve the article.

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