Sequential change-point detection for skew normal distribution. Issue 3 (30th September 2022)

• Record Type: Journal Article
• Authors: Wang, Peiyao; Ning, Wei
• Is Part Of: Sequential analysis. Volume 41:Issue 3(2022)
• Page Start: 387
• Page End: 415
• Publication Date: 2022-09-30
• Subjects: Change point detection -- CUSUM -- sequential test -- skew normal distribution; 62F03 -- 62L10 -- 62L15; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2022.2108546
• Languages: English
• ISSNs: 0747-4946

Abstract

Abstract: In this article, we propose a modified max-cumulative sum (CUSUM) procedure for detecting changes in parameters of skew normal distribution. The corresponding false alarms frequency and the postchange detection delay are investigated. Asymptotic behaviors of detection delay and theoretical optimality of the detection procedure have been established. Simulations have been conducted to show the performance of the proposed method and compare it to the other existing methods including CUSUM. Real data are given to illustrate the detection procedure.