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February, 1995 A Note on the Run Length to False Alarm of a Change-Point Detection Policy
Benjamin Yakir
Ann. Statist. 23(1): 272-281 (February, 1995). DOI: 10.1214/aos/1176324467

Abstract

A new proof is given to a known result on the average run length to false alarm of the Shiryayev-Roberts change-point detection policy when the observations are nonlattice. Via the approach of this new proof, the average run length to false alarm can be calculated in the lattice case and for the mixed-type Shiryayev-Roberts scheme.

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Benjamin Yakir. "A Note on the Run Length to False Alarm of a Change-Point Detection Policy." Ann. Statist. 23 (1) 272 - 281, February, 1995. https://doi.org/10.1214/aos/1176324467

Information

Published: February, 1995
First available in Project Euclid: 11 April 2007

zbMATH: 0828.62072
MathSciNet: MR1331668
Digital Object Identifier: 10.1214/aos/1176324467

Subjects:
Primary: 62L10
Secondary: 62N10

Rights: Copyright © 1995 Institute of Mathematical Statistics

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Vol.23 • No. 1 • February, 1995
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