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.
Publié le : 1996-02-14
Classification:
Quality control,
control charts,
change-point detection,
sequential tests,
62L10,
62N10
@article{1033066219,
author = {Yakir, Benjamin},
title = {A lower bound on the ARL to detection of a change with a probability constraint on false alarm},
journal = {Ann. Statist.},
volume = {24},
number = {6},
year = {1996},
pages = { 431-435},
language = {en},
url = {http://dml.mathdoc.fr/item/1033066219}
}
Yakir, Benjamin. A lower bound on the ARL to detection of a change with a probability constraint on false alarm. Ann. Statist., Tome 24 (1996) no. 6, pp. 431-435. http://gdmltest.u-ga.fr/item/1033066219/