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An adaptation of Page’s CUSUM test for change detection |
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| Authors: | Edit Gombay Daniel Serban |
| Affiliation: | (1) Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, AB, T6G 2G1, Canada;(2) Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, AB, T6G 2G1, Canada |
| Abstract: | Summary Page’s CUSUM test for detecting change in a sequence of independent observations is extended to the general parametric model involving nuisance parameters. The test statistic is the standardized efficient score vector. The model of nested random effects is analyzed in detail. |
| Keywords: | Brownian motion Page’ s CUSUM test restricted maximum likelihood estimator law of iterated logarithm invariance principles |
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