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- W2982144955 abstract "Quick detection of common changes is critical in sequential monitoring of multi-stream data where a common change is referred as a change that only occurs in a portion of panels. After briefly reviewing the CUSUM and Shiryayev-Roberts (SR) procedures for a single sequence under an exponential family model, we propose a combined CUSUM-SR procedure that is locally optimal in terms of the delay detection time. The design based on the Average In-control Run Length and comparisons with other procedures are discussed. After a common change is detected, a classifier formed by the post-change parameter estimations is used to isolate the possible candidates for the changed panels, that are then used to estimate the common change-point. To reduce the false discovery rate (FDR), supplementary runs are proposed. Dow Jones 30 Industrial Stock Prices are used for demonstration." @default.
- W2982144955 created "2019-11-01" @default.
- W2982144955 creator A5028069653 @default.
- W2982144955 date "2019-01-01" @default.
- W2982144955 modified "2023-10-15" @default.
- W2982144955 title "Sequential Common Change Detection and Isolation of Changed Panels in Panel Data" @default.
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- W2982144955 doi "https://doi.org/10.1007/978-981-15-0864-6_20" @default.
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