Detection of transient change in mean – a linear behavior inside epidemic interval

Daniela Jarušková

Kybernetika (2011)

  • Volume: 47, Issue: 6, page 866-879
  • ISSN: 0023-5954

Abstract

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A procedure for testing occurrance of a transient change in mean of a sequence is suggested where inside an epidemic interval the mean is a linear function of time points. Asymptotic behavior of considered trimmed maximum-type test statistics is presented. Approximate critical values are obtained using an approximation of exceedance probabilities over a high level by Gaussian fields with a locally stationary structure.

How to cite

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Jarušková, Daniela. "Detection of transient change in mean – a linear behavior inside epidemic interval." Kybernetika 47.6 (2011): 866-879. <http://eudml.org/doc/196884>.

@article{Jarušková2011,
abstract = {A procedure for testing occurrance of a transient change in mean of a sequence is suggested where inside an epidemic interval the mean is a linear function of time points. Asymptotic behavior of considered trimmed maximum-type test statistics is presented. Approximate critical values are obtained using an approximation of exceedance probabilities over a high level by Gaussian fields with a locally stationary structure.},
author = {Jarušková, Daniela},
journal = {Kybernetika},
keywords = {detection of transient change; trimmed maximum-type test statistic; extremes of Gaussian fields; detection of transient change; trimmed maximum-type test statistic; extremes of Gaussian fields},
language = {eng},
number = {6},
pages = {866-879},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Detection of transient change in mean – a linear behavior inside epidemic interval},
url = {http://eudml.org/doc/196884},
volume = {47},
year = {2011},
}

TY - JOUR
AU - Jarušková, Daniela
TI - Detection of transient change in mean – a linear behavior inside epidemic interval
JO - Kybernetika
PY - 2011
PB - Institute of Information Theory and Automation AS CR
VL - 47
IS - 6
SP - 866
EP - 879
AB - A procedure for testing occurrance of a transient change in mean of a sequence is suggested where inside an epidemic interval the mean is a linear function of time points. Asymptotic behavior of considered trimmed maximum-type test statistics is presented. Approximate critical values are obtained using an approximation of exceedance probabilities over a high level by Gaussian fields with a locally stationary structure.
LA - eng
KW - detection of transient change; trimmed maximum-type test statistic; extremes of Gaussian fields; detection of transient change; trimmed maximum-type test statistic; extremes of Gaussian fields
UR - http://eudml.org/doc/196884
ER -

References

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  8. Jarušková, D., Piterbarg, V. I., 10.1016/j.spl.2011.01.006, Statist. Probab. Lett. 81 (2011), 552–559. (2011) Zbl1209.62141MR2772911DOI10.1016/j.spl.2011.01.006
  9. Kabluchko, Z., Extreme-value analysis of standardized Gaussian increaments, Not published preprint. ArXiv:0706.1849v3[math.PR] (2008). (2008) 
  10. Levin, B., Kline, J., 10.1002/sim.4780040408, Statist. in Medicine 4 (1985), 469–488. (1985) DOI10.1002/sim.4780040408
  11. Loader, C. R., 10.2307/1427674, Adv. Appl. Prob. 23 (1991), 751–771. (1991) Zbl0741.60036MR1133726DOI10.2307/1427674
  12. Piterbarg, V. I., Asymptotic methods in the theory of Gaussian processes and fields, Translations of Mathematical Monographs, vol. 148. Amer. Math. Soc. (1996), Providence. (1996) Zbl0841.60024MR1361884
  13. Siegmund, D., 10.1214/aop/1176991769, Ann. Probab. 16 (1988), 487–501. (1988) Zbl0646.60032MR0929059DOI10.1214/aop/1176991769
  14. Siegmund, D., Venkatranan, E. S., 10.1214/aos/1176324466, Ann. Statist. 23 (1995), 255–271. (1995) MR1331667DOI10.1214/aos/1176324466
  15. Siegmund, D., Yakir, B., 10.2307/3318574, Bernoulli 6 (2000), 191–213. (2000) Zbl0976.62048MR1748719DOI10.2307/3318574

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