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September, 1993 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, Benjamin Yakir
Ann. Statist. 21(3): 1155-1165 (September, 1993). DOI: 10.1214/aos/1176349255

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.

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David Assaf. Moshe Pollak. Ya'acov Ritov. Benjamin Yakir. "Detecting a Change of a Normal Mean by Dynamic Sampling with a Probability Bound on a False Alarm." Ann. Statist. 21 (3) 1155 - 1165, September, 1993. https://doi.org/10.1214/aos/1176349255

Information

Published: September, 1993
First available in Project Euclid: 12 April 2007

zbMATH: 0786.62081
MathSciNet: MR1241262
Digital Object Identifier: 10.1214/aos/1176349255

Subjects:
Primary: 62L10
Secondary: 62F05

Rights: Copyright © 1993 Institute of Mathematical Statistics

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Vol.21 • No. 3 • September, 1993
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