Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test

References

• Hinkley , D.V . 1971 . Inference about the change point from cumulative sum tests . Biometrika , 58 : 509 – 523 .
   Web of Science ®Google Scholar
• Page , E.S . 1954 . Continuous inspection schemes . Biometrika , 41 : 100 – 114 .
   Web of Science ®Google Scholar
• Pollak , M and Siegmund , D . 1985 . A diffusion process and its application to detecting a change in the drift of a Brownian motion . Biometrika , 72 : 267 – 180 .
   Web of Science ®Google Scholar
• Pollak , M and Siegmund , D . 1986 . Convergence of quasi-stationary to stationary distribution for stochastic markov processes . Journal of applied probability , 23 : 267 – 280 .
   Google Scholar
• Siegmund , D . 1985 . “ Sequential analysis ” . In Tests and confidence intervals , Berlin : Springer .
   Google Scholar
• Srivastava , M.S and Wu , Y . 1993 . Comparision of EWMA CUSUM and shiryayev-Roberts procedures for detecting a shift in the mean . Annals of statistics , 21 : 645 – 670 .
   Web of Science ®Google Scholar