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Biometrika 1971 58(3):509-523; doi:10.1093/biomet/58.3.509
© 1971 by Biometrika Trust
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Inference about the change-point from cumulative sum tests

D. V. HINKLEY*

Stanford University

* Now at Imperial College, London

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.

Key Words: Estimation of change-points • Cumulative sum charts • Likelihood ratio tests • Random walk


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