The optimality of CUSUM under a Lorden-type criterion setting is considered. We demonstrate
the optimality of the CUSUM test for Itô processes, in a sense similar to Lorden's, but with a criterion that replaces expected delays by the corresponding Kullback-Leibler divergence.
Publié le : 2004-02-14
Classification:
CUSUM,
change point,
disorder problem,
sequential detection,
Kullback-Leibler divergence,
62L10,
62L15,
62C10
@article{1079120138,
author = {Moustakides, George V.},
title = {Optimality of the CUSUM procedure in continuous time},
journal = {Ann. Statist.},
volume = {32},
number = {1},
year = {2004},
pages = { 302-315},
language = {en},
url = {http://dml.mathdoc.fr/item/1079120138}
}
Moustakides, George V. Optimality of the CUSUM procedure in continuous time. Ann. Statist., Tome 32 (2004) no. 1, pp. 302-315. http://gdmltest.u-ga.fr/item/1079120138/