UBC Faculty Research and Publications

A New Class of Weighted CUSUM Statistics Shi, Xiaoping; Wang, Xiang-Sheng; Reid, Nancy

Abstract

A change point is a location or time at which observations or data obey two different models: before and after. In real problems, we may know some prior information about the location of the change point, say at the right or left tail of the sequence. How does one incorporate the prior information into the current cumulative sum (CUSUM) statistics? We propose a new class of weighted CUSUM statistics with three different types of quadratic weights accounting for different prior positions of the change points. One interpretation of the weights is the mean duration in a random walk. Under the normal model with known variance, the exact distributions of these statistics are explicitly expressed in terms of eigenvalues. Theoretical results about the explicit difference of the distributions are valuable. The expansions of asymptotic distributions are compared with the expansion of the limit distributions of the Cramér-von Mises statistic and the Anderson and Darling statistic. We provide some extensions from independent normal responses to more interesting models, such as graphical models, the mixture of normals, Poisson, and weakly dependent models. Simulations suggest that the proposed test statistics have better power than the graph-based statistics. We illustrate their application to a detection problem with video data.

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CC BY 4.0