2021/12/12 by Michael, Baron, Sergey, Malov
#60G35 #60G50 #62F10 #62H30 #62P10 #FOS: Mathematics #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.2112.06308
Change-point detection methods are proposed for the case of temporary failures, or transient changes, when an unexpected disorder is ultimately followed by a readjustment 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 the familywise false alarm and false readjustment rates at the pre-chosen levels.