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February 1996 A lower bound on the ARL to detection of a change with a probability constraint on false alarm
Benjamin Yakir
Ann. Statist. 24(1): 431-435 (February 1996). DOI: 10.1214/aos/1033066219

Abstract

An inequality that relates the probability of false alarm of a change-point detection policy to its average run length to detection is proved. By means of this inequality, a lower bound on the rate of detection, when the change occurs after a long delay, is derived.

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Benjamin Yakir. "A lower bound on the ARL to detection of a change with a probability constraint on false alarm." Ann. Statist. 24 (1) 431 - 435, February 1996. https://doi.org/10.1214/aos/1033066219

Information

Published: February 1996
First available in Project Euclid: 26 September 2002

zbMATH: 0853.62063
MathSciNet: MR1389900
Digital Object Identifier: 10.1214/aos/1033066219

Subjects:
Primary: 62L10
Secondary: 62N10

Rights: Copyright © 1996 Institute of Mathematical Statistics

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Vol.24 • No. 1 • February 1996
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