Sequential change detection revisited
| dc.creator | Moustakides, George V. | |
| dc.date | 2008-04-04 | |
| dc.date.accessioned | 2026-07-07T12:18:07Z | |
| dc.date.available | 2026-07-07T12:18:07Z | |
| dc.description | 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. | |
| dc.description | 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) | |
| dc.identifier | https://arxiv.org/abs/0804.0741 | |
| dc.identifier | http://arxiv.org/abs/0804.0741 | |
| dc.identifier | Annals of Statistics 2008, Vol. 36, No. 2, 787-807 | |
| dc.identifier | doi:10.1214/009053607000000938 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/212303 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62L10 (Primary) 62L15, 60G40 (Secondary) | |
| dc.title | Sequential change detection revisited | |
| dc.type | text |