Observations are taken independently and sequentially. Detection of a change in distribution is studied when the problem has an invariance structure. The prechange distribution is assumed to be a member of a specified
family and is assumed known up to a nuisance parameter. We provide a general method of constructing surveillance schemes in the presence of a nuisance parameter and give sufficient conditions for approximating their average run
lengths to false alarm. Applications include detecting a change in scale of i.i.d. gamma variates with unknown initial scale, detecting a change in location of i.i.d. normal variates with unknown initial mean, and a non-parametric scheme based on ranks for detecting a change to a stochastically larger distribution.
@article{1069362749,
author = {Gordon, Louis and Pollak, Moshe},
title = {Average run length to false alarm for surveillance schemes designed with partially specified pre-change distribution},
journal = {Ann. Statist.},
volume = {25},
number = {6},
year = {1997},
pages = { 1284-1310},
language = {en},
url = {http://dml.mathdoc.fr/item/1069362749}
}
Gordon, Louis; Pollak, Moshe. Average run length to false alarm for surveillance schemes designed with partially specified pre-change distribution. Ann. Statist., Tome 25 (1997) no. 6, pp. 1284-1310. http://gdmltest.u-ga.fr/item/1069362749/