期刊名称：International Journal of Statistics and Probability
印刷版ISSN：1927-7032
电子版ISSN：1927-7040
出版年度：2016
卷号：5
期号：5
页码：43
DOI：10.5539/ijsp.v5n5p43
出版社：Canadian Center of Science and Education
摘要：In this paper, we consider an adaptive sequential CUSUM procedure in an exponential family where the change-point and post-change parameters are estimated adaptively. It is shown that the adaptive CUSUM procedure is efficient at the first order. The conditional biases of the estimation for the change-point and post-change parameter are studied. Comparison with the classical CUSUM procedure in the normal case is made. Nile river flow and average global temperature data sets are used for demonstration.
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