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Accurate tests and intervals based on linear cusum statistics

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  • Withers, Christopher S.
  • Nadarajah, Saralees

Abstract

Suppose that we are monitoring incoming observations for a change in mean via a cusum test statistic. The usual nonparametric methods give first and second order approximations for the one- and two-sided cases. We show how to improve the order of these approximations for linear statistics.

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  • Withers, Christopher S. & Nadarajah, Saralees, 2009. "Accurate tests and intervals based on linear cusum statistics," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 689-697, March.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:5:p:689-697
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    References listed on IDEAS

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    1. Withers, C. S., 2000. "A simple expression for the multivariate Hermite polynomials," Statistics & Probability Letters, Elsevier, vol. 47(2), pages 165-169, April.
    2. C. Withers, 1988. "Nonparametric confidence intervals for functions of several distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 40(4), pages 727-746, December.
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    1. Withers, Christopher S. & Nadarajah, Saralees, 2009. "Accurate tests and intervals based on nonlinear cusum statistics," Statistics & Probability Letters, Elsevier, vol. 79(21), pages 2242-2250, November.

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