Decision Theoretic Optimality of the Cusum Procedure
Ritov, Y.
Ann. Statist., Tome 18 (1990) no. 1, p. 1464-1469 / Harvested from Project Euclid
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Suppose $X_1, X_2, \ldots$ are independent random variables such that for some unknown $\nu$, each of $X_1, \ldots, X_{\nu - 1}$ is distributed according to $F_0$, while $X_\nu, X_{\nu + 1}, \ldots$ are all distributed according to $F_1$. We prove a result of Moustakides that claims that the CUSUM procedures are optimal in the sense of Lorden. We do that by proving that the procedures are Bayes for some stochastic mechanism of generating $\nu$.
Publié le : 1990-09-14
Classification:  Page procedures,  sequential games,  sequential analysis,  CUSUM test,  SPRT,  62L10,  62L15 
@article{1176347761,
     author = {Ritov, Y.},
     title = {Decision Theoretic Optimality of the Cusum Procedure},
     journal = {Ann. Statist.},
     volume = {18},
     number = {1},
     year = {1990},
     pages = { 1464-1469},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347761}
}

Ritov, Y. Decision Theoretic Optimality of the Cusum Procedure. Ann. Statist., Tome 18 (1990) no. 1, pp.  1464-1469. http://gdmltest.u-ga.fr/item/1176347761/