Inference for Change Point and Post Change Means After a CUSUM Test

• CUSUM Procedure.- Change-Point Estimation.- Confidence Interval for Change-Point.- Inference for Post-Change Mean.- Estimation After False Signal.- Inference with Change in Variance.- Sequential Classification and Segmentation.- An Adaptive CUSUM Procedure.- Dependent Observation Case.- Other Methods and Remarks.

From the reviews: "Overall, I recommend the book to anyone working in the area of sequential analysis." Journal of the American Statistical Association, June 2006 "The goal of the author is to provide some quantitative evaluations on the statistical properties of estimators for change-point and post-change parameters after a signal of change is made. Most discussions are concentrated on the CUSUM procedure. ... The presentation is formal, all results are presented with proofs. Additionally, several case studies are included." (R. Schlittgen, Zentralblatt MATH, Vol. 1067, 2005) "This monograph is the first to systematically study the bias of estimators and the construction of corrected confidence intervals for change-point and post-change parameters after a change is detected by using a CUSUM procedure. ... Practitioners who are interested in applications to quality control, dynamical systems, financial markets, clinical trials and other areas will benefit ... . Readers with an elementary probability and statistics background and some knowledge of CUSUM procedures will be able to understand most results, as the material is relatively self-contained." (Lian Fen Qian, Mathematical Reviews, 2006 i)