Sequential detection of transient signal by moving likelihood ratio statistic in an exponential family

References

• Barndorff-Nielsen, O. E., and D. R. Cox. 1984. Bartlett adjustments to the likelihood ratio statistic and the distribution of the maximum likelihood estimator. Journal of the Royal Statistical Society: Series B (Methodological) 46 (3):483–95. doi: 10.1111/j.2517-6161.1984.tb01321.x.
   Google Scholar
• Barndorff-Nielsen, O. E., and D. R. Cox. 1994. Inference and asymptotics. London: Chapman and Hall.
   Google Scholar
• Bauer, P., and P. Hackl. 1978. The use of MOSUMS for quality control. Technometrics 20 (4):431. doi: 10.2307/1267643.
   Web of Science ®Google Scholar
• Bauer, P., and P. Hackl. 1980. An extension of the MOSUM technique for quality control. Technometrics 22 (1):1. doi: 10.2307/1268376.
   Web of Science ®Google Scholar
• Brazzale, A. R., A. C. Davison, and N. Reid. 2006. Applied asymptotics: Case studies in small-sample statistics. Cambridge: Cambridge University Press.
   Google Scholar
• Chu, J., K. Hornik, and C.-M. Kaun. 1995. MOSUM tests for parameter constancy. Biometrika 82 (3):603–17. doi: 10.1093/biomet/82.3.603.
   Web of Science ®Google Scholar
• Davison, A. C., and N. Reid. 2022. The tangent exponential model. doi: 10.48550/arXiv.2106.10496.
   Google Scholar
• Egea-Roca, D., B. K. Guepie, J. A. Lopez-Salcedo, G. Seco-Granados, and I. V. Nikiforov. Two strategies in transient change detection. IEEE Transactions on Signal Processing 70:1418–33. doi: 10.1109/TSP.2022.3158008.
   Web of Science ®Google Scholar
• Guépié, B. K., L. Fillatre, and I. Nikiforov. 2012. Sequential detection of transient changes. Sequential Analysis 31 (4):528–47. doi: 10.1080/07474946.2012.719443.
   Web of Science ®Google Scholar
• Jensen, J. L. 1995. Saddlepoint approximations. New York: Oxford University Press Inc.
   Google Scholar
• Lai, T. L. 1974. Control charts based on weighted sums. Annals of Statistics 2:134–47.
   Web of Science ®Google Scholar
• Lai, T. L. 1995. Sequential changepoint detection in quality control and dynamical systems. Journal of the Royal Statistical Society: Series B (Methodological) 57 (4):613–44. doi: 10.1111/j.2517-6161.1995.tb02052.x.
   Web of Science ®Google Scholar
• Noonan, J, and A. Zhigljavsky. 2020. Power of the MOSUM test for online detection of a transient change in mean. Sequential Analysis 39 (2):269–93. doi: 10.1080/07474946.2020.1767406.
   Web of Science ®Google Scholar
• Severini, T. A. 2000. Likelihood methods in statistics. New York: Oxford University Press Inc.
   Google Scholar
• Siegmund, D. 1985. Sequential analysis: Tests and confidence intervals. New York: Springer.
   Google Scholar
• Siegmund, D. 1988. Approximate tail probabilities for the maxima of some random fields. Annals of Probability 16 (2):487–501.
   Web of Science ®Google Scholar
• Siegmund, D., and B. Yakir. 2000. Tail probabilities for the null distribution of scanning statistics. Bernoulli 6 (2):191. doi: 10.2307/3318574.
   Web of Science ®Google Scholar
• Siegmund, D. O., and B. Yakir. 2008. Minimax optimality of the Shiryayev–Roberts change-point detection rule. Journal of Statistical Planning and Inference 138 (9):2815–25. doi: 10.1016/j.jspi.2008.03.016.
   Web of Science ®Google Scholar
• Siegmund, D., B. Yakir, and N. Zhang. 2010. Tail approximations for maxima of random fields by likelihood ratio transformations. Sequential Analysis 29 (3):245–62. doi: 10.1080/07474946.2010.487428.
   Google Scholar
• Siegmund, D., B. Yakir, and N. R. Zhang. 2011. Detecting simultaneous variant intervals in aligned sequences. Annals of Applied Statistics 5 (2A):645–68.
   Web of Science ®Google Scholar
• Tang, Y., and N. Reid. 2020. Modified likelihood root in high dimensions. Journal of the Royal Statistical Society Series B: Statistical Methodology 82 (5):1349–69. doi: 10.1111/rssb.12389.
   Web of Science ®Google Scholar
• Wu, Y., and D. Siegmund. 2023. A comparative study of sequential detection procedures for transient signals in high dimensional data stream. Statistics and Its Interface.
   Google Scholar
• Xie, L., Y. Xie, and G. V. Moustakides. 2020. Sequential subspace change point detection. Sequential Analysis 39 (3):307–35. doi: 10.1080/07474946.2020.1823191.
   Web of Science ®Google Scholar
• Yakir, B. 1995. A note on the run length to false alarm of a change-point detection policy. Annals of Statistics 23 (1):272–81.
   Web of Science ®Google Scholar