Detection of Sharp Changes in Hazard Rates: A Review
by
M. Z. Anis
SQC & OR Unit, Indian Statisitcal Institute, 203 B. T. Road, Calcutta - 700 108, INDIA

The theory of change point analysis finds applications in diverse fields such as stock market analysis, industrial quality control and reliability studies. In some real life applications, abrupt changes in the hazard function are observed due to overhauls, major operations or specific maintenance activities. In such situations it is of interest to detect the location where such a change occurs and estimate the size of the change. In this work we consider hazard models with a single sharp change in the hazard rate. We focus on inference problems concerning the change points. The typical models used by the different authors are critically examined. The models under parametric and non-parametric set ups as also complete and censored data are reviewed. The use of different statistical techniques such as Weak Convergence Theory, the theory of L-statistics, TTT transform methods, Bayesian methods etc. have been highlighted. Possible directions of further research are indicated.

Date received: April 21, 2006