Annals of Statistics
- Ann. Statist.
- Volume 36, Number 2 (2008), 787-807.
Sequential change detection revisited
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.
Ann. Statist., Volume 36, Number 2 (2008), 787-807.
First available in Project Euclid: 13 March 2008
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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