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.
Citation
George V. Moustakides. "Optimal Stopping Times for Detecting Changes in Distributions." Ann. Statist. 14 (4) 1379 - 1387, December, 1986. https://doi.org/10.1214/aos/1176350164
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