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 ...
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 ...