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October 1996 Dynamic sampling policy for detecting a change in distribution, with a probability bound on false alarm
Benjamin Yakir
Ann. Statist. 24(5): 2199-2214 (October 1996). DOI: 10.1214/aos/1069362317

Abstract

We show that if dynamic sampling is feasible, then there exist surveillance schemes that satisfy a probability constraint on false alarm. Procedures are suggested for detecting a change of a normal mean from 0 to a (unknown) positive value. These procedures are optimal (up to a constant term) when the post-change mean is known, and almost optimal [up to an $o(\log(1/\alpha))$ term when the post-change mean is unknown.

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Benjamin Yakir. "Dynamic sampling policy for detecting a change in distribution, with a probability bound on false alarm." Ann. Statist. 24 (5) 2199 - 2214, October 1996. https://doi.org/10.1214/aos/1069362317

Information

Published: October 1996
First available in Project Euclid: 20 November 2003

zbMATH: 0880.62084
MathSciNet: MR1421168
Digital Object Identifier: 10.1214/aos/1069362317

Subjects:
Primary: 62L10
Secondary: 62N10

Keywords: change point detection , control charts , dynamic sampling , quality control

Rights: Copyright © 1996 Institute of Mathematical Statistics

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Vol.24 • No. 5 • October 1996
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