Inference about the change-point from cumulative sum tests (Page-Hinkley test)

Abstract

Commonly known as the Page-Hinkley test. The point of change in mean in a sequence of normal random variables can be estimated from a cumulative sum test scheme. The asymptotic distribution of this estimate and associated test statistics are derived and numerical results given. The relation to likelihood inference is emphasized. Asymptotic results are compared with empirical sequential results, and some practical implications are discussed.

Tasks

Reproductions