{"title":"Sequential change-point detection for skew normal distribution","authors":"Peiyao Wang, Wei Ning","doi":"10.1080/07474946.2022.2108546","DOIUrl":null,"url":null,"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.","PeriodicalId":48879,"journal":{"name":"Sequential Analysis-Design Methods and Applications","volume":null,"pages":null},"PeriodicalIF":0.6000,"publicationDate":"2022-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Sequential Analysis-Design Methods and Applications","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/07474946.2022.2108546","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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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.
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