Detection and estimation of multiple transient changes.

IF 1.2 4区数学 Q2 STATISTICS & PROBABILITY

Journal of Applied Statistics Pub Date : 2023-03-13 eCollection Date: 2023-01-01 DOI:10.1080/02664763.2023.2174257

Michael Baron, Sergey V Malov

引用次数: 0

Abstract

Change-point detection methods are proposed for the case of temporary failures, or transient changes, when an unexpected disorder is ultimately followed by a re-adjustment and return to the initial state. A base distribution of the 'in-control' state changes to an 'out-of-control' distribution for unknown periods of time. Likelihood based sequential and retrospective tools are proposed for the detection and estimation of each pair of change-points. The accuracy of the obtained change-point estimates is assessed. Proposed methods offer simultaneous control of the familywise false alarm and false re-adjustment rates at the pre-chosen levels.

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多个瞬态变化的检测和估计。

针对临时故障或瞬态变化的情况，提出了变化点检测方法，当意外的无序最终经过重新调整并返回初始状态时。在未知的时间段内，“控制中”状态的基本分布更改为“失控”分布。提出了基于似然的序列和回顾工具来检测和估计每对变化点。评估所获得的变化点估计的准确性。所提出的方法在预先选择的水平上同时控制家庭错误警报和错误重新调整率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Applied Statistics 数学-统计学与概率论

CiteScore

3.40

自引率

0.00%

发文量

126

审稿时长

6 months

期刊介绍： Journal of Applied Statistics provides a forum for communication between both applied statisticians and users of applied statistical techniques across a wide range of disciplines. These areas include business, computing, economics, ecology, education, management, medicine, operational research and sociology, but papers from other areas are also considered. The editorial policy is to publish rigorous but clear and accessible papers on applied techniques. Purely theoretical papers are avoided but those on theoretical developments which clearly demonstrate significant applied potential are welcomed. Each paper is submitted to at least two independent referees.