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- W2000574878 abstract "Abstract Motivated by detecting and identifying sparse change segments in the mean process for a long independent normal sequence, the conditional mean and variance of the asymptotic normal pivot formed by the postchange mean estimator after a false alarm by using a cumulative sum procedure are derived. By treating the unconditional distribution for the postchange mean estimator as a mixture of the conditional distributions after true and false alarms, a sequential method is proposed for detecting and identifying sparse change segments in the mean process. An example from the Dow Jones Industrial Average index is used for illustration." @default.
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- W2000574878 date "2007-10-25" @default.
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- W2000574878 title "False Alarms and Sparse Change Segment Detection by Using a CUSUM Procedure" @default.
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- W2000574878 doi "https://doi.org/10.1080/07474940701620766" @default.
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