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A less sensitive linear detector for the change point based on kernel smoothing method

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Abstract

In this paper, a new detecting procedure for the change point in the mean is proposed based on a linear kernel smoother. It uses a discontinuous kernel function and has a relative high constant efficiency in an interval of shift value and thus is less sensitive than the simple CUSUM, EWMA, FMA and Shiryayev-Roberts procedures. It also generalizes the FMA procedure.

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Authors and Affiliations

  1. Department of Statistics and Applied Probability, University of Alberta Edmonton, T6G 2G1, Alberta, Canada

    Yanhong Wu

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  1. Yanhong Wu
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Wu, Y. A less sensitive linear detector for the change point based on kernel smoothing method. Metrika 43, 43–55 (1996). https://doi.org/10.1007/BF02613896

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  • DOI: https://doi.org/10.1007/BF02613896

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