A Martingale Approach to the Changepoint Problem
变点问题的鞅方法
The changepoint problem for a binary sequence is considered. A test statistic based on recursive residuals is compared to the test statistic suggested by Pettitt. The new test statistic has more interesting properties for use in sequential testing. However, neither of the two test statistics dominates the other. Sequential versions of the martingale-based test, forward and reverse, are given and compared to other tests by means of a simulation study. The reverse martingale…