Detection and estimation of multiple transient changes.
- Resource Type
- Article
- Authors
- Baron, Michael; Malov, Sergey V.
- Source
- Journal of Applied Statistics. Nov2023, Vol. 50 Issue 14, p2862-2888. 27p.
- Subject
- *FALSE alarms
*CHANGE-point problems
- Language
- ISSN
- 0266-4763
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. [ABSTRACT FROM AUTHOR]