Mathematics
and Computer Science Speaker Series
California State University, Stanislaus
Date: Tuesday, February 24,
2009
Time: 4:00 - 5:00 p.m
Room: P-101
Speaker: Yanhong Wu
Title: Sequential Change Point Problems
Abstract: Suppose a sequence of independent normal random
variables are observed sequentially with the mean subject to a sudden
change. Several monitoring procedures such as the CUSUM, EWMA, and
Shiryayev-Roberts procedures are introduced for a quick detection of
the change. The inference problems for the change point and post-change
means after detection are considered under the CUSUM procedure.
Applications to on-line quality control, financial data monitoring, and
other areas are used for illustrations.