Sequential change detection revisited
Statistics Theory
2008-12-18 v1 Statistics Theory
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.
Cite
@article{arxiv.0804.0741,
title = {Sequential change detection revisited},
author = {George V. Moustakides},
journal= {arXiv preprint arXiv:0804.0741},
year = {2008}
}
Comments
Published in at http://dx.doi.org/10.1214/009053607000000938 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)