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.
Publié le : 1996-10-14
Classification:
Quality control,
control charts,
change point detection,
dynamic sampling,
62L10,
62N10
@article{1069362317,
author = {Yakir, Benjamin},
title = {Dynamic sampling policy for detecting a change in distribution, with a probability bound on false alarm},
journal = {Ann. Statist.},
volume = {24},
number = {6},
year = {1996},
pages = { 2199-2214},
language = {en},
url = {http://dml.mathdoc.fr/item/1069362317}
}
Yakir, Benjamin. Dynamic sampling policy for detecting a change in distribution, with a probability bound on false alarm. Ann. Statist., Tome 24 (1996) no. 6, pp. 2199-2214. http://gdmltest.u-ga.fr/item/1069362317/