Optimality of the CUSUM procedure in continuous time

George V. Moustakides

doi:10.1214/aos/1079120138

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Home > Journals > Ann. Statist. > Volume 32 > Issue 1 > Article

February 2004 Optimality of the CUSUM procedure in continuous time

George V. Moustakides

Ann. Statist. 32(1): 302-315 (February 2004). DOI: 10.1214/aos/1079120138

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Abstract

The optimality of CUSUM under a Lorden-type criterion setting is considered. We demonstrate the optimality of the CUSUM test for Itô processes, in a sense similar to Lorden's, but with a criterion that replaces expected delays by the corresponding Kullback-Leibler divergence.

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George V. Moustakides. "Optimality of the CUSUM procedure in continuous time." Ann. Statist. 32 (1) 302 - 315, February 2004. https://doi.org/10.1214/aos/1079120138