The Annals of Statistics

Detecting a Change of a Normal Mean by Dynamic Sampling with a Probability Bound on a False Alarm

David Assaf, Moshe Pollak, Ya'acov Ritov, and Benjamin Yakir

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Abstract

We show that when dynamic sampling is feasible, there exist surveillance schemes for which the probability of a false alarm is bounded and which have a bounded expected delay when detecting a (true) change. In the case of detecting a change of a normal mean, we probe optimality and suggest procedures. These procedures compare favorably to those having a fixed sampling rate which have been developed for an expectation constraint on the average run length until a false alarm.

Article information

Source
Ann. Statist., Volume 21, Number 3 (1993), 1155-1165.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176349255

Digital Object Identifier
doi:10.1214/aos/1176349255

Mathematical Reviews number (MathSciNet)
MR1241262

Zentralblatt MATH identifier
0786.62081

JSTOR
links.jstor.org

Subjects
Primary: 62L10: Sequential analysis
Secondary: 62F05: Asymptotic properties of tests

Keywords
Quality control control charts change-point detection dynamic sampling

Citation

Assaf, David; Pollak, Moshe; Ritov, Ya'acov; Yakir, Benjamin. Detecting a Change of a Normal Mean by Dynamic Sampling with a Probability Bound on a False Alarm. Ann. Statist. 21 (1993), no. 3, 1155--1165. doi:10.1214/aos/1176349255. https://projecteuclid.org/euclid.aos/1176349255


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