Sequential change-point detection in a multinomial logistic regression model

Change-point detection in categorical time series has recently gained attention as statistical models incorporating change-points are common in practice, especially in the area of biomedicine. In this article, we propose a sequential change-point detection procedure based on the partial likelihood score process for the detection of changes in the coefficients of multinomial logistic regression model. The asymptotic results are presented under both the null of no change and the alternative of changes in coefficients. We carry out a Monte Carlo experiment to evaluate the empirical size of the proposed procedure as well as its average run length. We illustrate the method by using data on a DNA sequence. Monte Carlo experiments and real data analysis demonstrate the effectiveness of the proposed procedure.