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June, 1994 Dynamic Sampling Plan in Shiryayev-Roberts Procedure for Detecting a Change in the Drift of Brownian Motion
M. S. Srivastava, Yanhong Wu
Ann. Statist. 22(2): 805-823 (June, 1994). DOI: 10.1214/aos/1176325496

Abstract

In this paper, a dynamic sampling plan in the Shiryayev-Roberts procedure is considered. It is shown that a two-rate dynamic sampling plan is optimal in the sense that it minimizes the stationary average delay time (SADT). Analytical results as well as numerical comparisons show that it is significantly superior to the fixed sampling plan. The comparison also shows that it is as powerful as the dynamic sampling procedure of Assaf and Ritov. The generalizations to the fast initial response and to the CUSUM procedure are also briefly discussed.

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M. S. Srivastava. Yanhong Wu. "Dynamic Sampling Plan in Shiryayev-Roberts Procedure for Detecting a Change in the Drift of Brownian Motion." Ann. Statist. 22 (2) 805 - 823, June, 1994. https://doi.org/10.1214/aos/1176325496

Information

Published: June, 1994
First available in Project Euclid: 11 April 2007

zbMATH: 0816.62067
MathSciNet: MR1292541
Digital Object Identifier: 10.1214/aos/1176325496

Subjects:
Primary: 62L10
Secondary: 62N10

Rights: Copyright © 1994 Institute of Mathematical Statistics

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Vol.22 • No. 2 • June, 1994
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