Nonparametric Tests and Nested Sequential Sampling Plans for Change-Point Detection

Abstract

We propose a new approach for solving nonparametric problems of sequential change-point detection. Nested sequential sampling plans allow using the Kolmogorov–Smirnov test and other nonparametric tests for sequential change-point detection. Exact formulas for the mathematical expectation and the variance of the false detection moment are based on the exact distributions of nonparametric statistics for small sample sizes.