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2
votes
0answers
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Reference for implementing generalized likelihood ratio test to determine online whether time-series mean has shifted

What is a reference that describes the "generalized likelihood ratio" test to determine online (i.e., meaning that we add an observation, then check, then add an observation, then check) whether the ...
3
votes
1answer
230 views

Simple random walk and sudden drift, how to detect the change?

I have got the following question relating to random walks. I would like to determine the moment when a random walk changes from being a simple random walk to start to drift at certain time. This sort ...