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arXiv · 2104.02734

Online change-point detection for a transient change

Jack Noonan
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Abstract

We consider a popular online change-point problem of detecting a transient change in distributions of i.i.d. random variables. For this change-point problem, several change-point procedures are formulated and some advanced results for a particular procedure are surveyed. Some new approximations for the average run length to false alarm are offered and the power of these procedures for detecting a transient change in mean of a sequence of normal random variables is compared.

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Jack Noonan. 2021-04-06. Online change-point detection for a transient change. https://arxiv.org/abs/2104.02734

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