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• W1985936867 abstract "Abstract Sequential schemes for detecting a change in distribution often require that all of the observations be stored in memory. Lai (1995 Lai , T. L. ( 1995 ). Sequential Changepoint Detection in Quality Control and Dynamical Systems , Journal of Royal Statistical Society, Series B 57 : 613 – 658 . [Google Scholar], Journal of Royal Statistical Society, Series B 57: 613–658) proposed a class of detection schemes that enable one to retain a finite window of the most recent observations, yet promise first-order optimality. The asymptotics are such that the window size is asymptotically unbounded. We argue that what's of computational importance isn't having a finite window of observations, but rather making do with a finite number of registers. We illustrate in the context of detecting a change in the parameter of an exponential family that one can achieve eventually even second-order asymptotic optimality through using only three registers for storing information of the past. We propose a very simple procedure, and show by simulation that it is highly efficient for typical applications." @default.
• W1985936867 created "2016-06-24" @default.
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• W1985936867 date "2008-11-04" @default.
• W1985936867 modified "2023-10-06" @default.
• W1985936867 title "Sequential Change-Point Detection Procedures That are Nearly Optimal and Computationally Simple" @default.
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• W1985936867 doi "https://doi.org/10.1080/07474940802446244" @default.
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