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April 2008 Sequential change detection revisited
George V. Moustakides
Ann. Statist. 36(2): 787-807 (April 2008). DOI: 10.1214/009053607000000938

Abstract

In sequential change detection, existing performance measures differ significantly in the way they treat the time of change. By modeling this quantity as a random time, we introduce a general framework capable of capturing and better understanding most well-known criteria and also propose new ones. For a specific new criterion that constitutes an extension to Lorden’s performance measure, we offer the optimum structure for detecting a change in the constant drift of a Brownian motion and a formula for the corresponding optimum performance.

Citation

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George V. Moustakides. "Sequential change detection revisited." Ann. Statist. 36 (2) 787 - 807, April 2008. https://doi.org/10.1214/009053607000000938

Information

Published: April 2008
First available in Project Euclid: 13 March 2008

zbMATH: 1133.62063
MathSciNet: MR2396815
Digital Object Identifier: 10.1214/009053607000000938

Subjects:
Primary: 62L10
Secondary: 60G40, 62L15

Rights: Copyright © 2008 Institute of Mathematical Statistics

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Vol.36 • No. 2 • April 2008
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