Sequential detection of a steady state. Issue 1 (2nd January 2016)

• Record Type: Journal Article
• Authors: Pollak, Moshe; Hope, Tom
• Is Part Of: Sequential analysis. Volume 35:Issue 1(2016)
• Page Start: 2
• Page End: 29
• Publication Date: 2016-01-02
• Subjects: Changepoint -- maximum likelihood -- power one tests -- sequential -- statistical process control -- steady state -- tests of hypotheses; 62L10 -- 62L05; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2016.1131565
• Languages: English
• ISSNs: 0747-4946

Abstract

ABSTRACT: In many contexts one observes a stochastic process with the goal of learning steady-state characteristics. Very often, a burn-in period is observed, at the end of which it is believed that steady state has been reached. The decision to halt and declare that the process is in steady-state is a sequential endeavor, based on the past-to-present observations, entailing continual decisions regarding whether steady state has already been attained. Usually, a rigorous statement of confidence/reliability of having reached steady-state that takes into account the sequential nature of the decision is not specified. The intention of this article is to present an approach to making a confidence statement of this nature. We focus on a sequence of independent observations that tends in a stochastically monotone fashion to a constant distribution. We also discuss a case of dependent observations.