Optimal Stopping Times for Detecting Changes in Distributions
George V. Moustakides
Source: Ann. Statist. Volume 14, Number 4
(1986), 1379-1387.
Abstract
It is shown that Page's stopping time is optimal for the detection of changes in distributions, in a well defined sense. This work is a generalization of an existing result where it was shown that Page's stopping time is optimal asymptotically.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aos/1176350164
JSTOR: links.jstor.org
Digital Object Identifier: doi:10.1214/aos/1176350164
Mathematical Reviews number (MathSciNet): MR868306
Zentralblatt MATH identifier: 0612.62116
