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Activity Number: 513 - Topics in Monte Carlo Simulation
Type: Contributed
Date/Time: Wednesday, July 31, 2019 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Computing
Abstract #306871 Presentation
Title: Real-Time Change Point Detection
Author(s): Kyungduk Ko*
Companies: Boise State University
Keywords: Change point; Levene statistic; Monte Carlo simulation; Real-time detection

We propose a real-time detection method of an unknown variance change point. Levene-type transformation is first adopted for detection of a change point, and a modification for real-time detection is made to the Leven-type test statistic. The null hypothesis distribution of the proposed test statistic is obtained via Monte Carlo simulation. Empirical sizes and powers of the test statistic are presented.

Authors who are presenting talks have a * after their name.

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