The Annals of Statistics

Sequential change detection revisited

George V. Moustakides

Full-text: Open access

Abstract

In sequential change detection, existing performance measures differ significantly in the way they treat the time of change. By modeling this quantity as a random time, we introduce a general framework capable of capturing and better understanding most well-known criteria and also propose new ones. For a specific new criterion that constitutes an extension to Lorden’s performance measure, we offer the optimum structure for detecting a change in the constant drift of a Brownian motion and a formula for the corresponding optimum performance.

Article information

Source
Ann. Statist., Volume 36, Number 2 (2008), 787-807.

Dates
First available in Project Euclid: 13 March 2008

Permanent link to this document
https://projecteuclid.org/euclid.aos/1205420519

Digital Object Identifier
doi:10.1214/009053607000000938

Mathematical Reviews number (MathSciNet)
MR2396815

Zentralblatt MATH identifier
1133.62063

Subjects
Primary: 62L10: Sequential analysis
Secondary: 62L15: Optimal stopping [See also 60G40, 91A60] 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]

Keywords
Change-point disorder problem sequential detection

Citation

Moustakides, George V. Sequential change detection revisited. Ann. Statist. 36 (2008), no. 2, 787--807. doi:10.1214/009053607000000938. https://projecteuclid.org/euclid.aos/1205420519


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