We show that when dynamic sampling is feasible, there exist surveillance schemes for which the probability of a false alarm is bounded and which have a bounded expected delay when detecting a (true) change. In the case of detecting a change of a normal mean, we probe optimality and suggest procedures. These procedures compare favorably to those having a fixed sampling rate which have been developed for an expectation constraint on the average run length until a false alarm.
Publié le : 1993-09-14
Classification:
Quality control,
control charts,
change-point detection,
dynamic sampling,
62L10,
62F05
@article{1176349255,
author = {Assaf, David and Pollak, Moshe and Ritov, Ya'acov and Yakir, Benjamin},
title = {Detecting a Change of a Normal Mean by Dynamic Sampling with a Probability Bound on a False Alarm},
journal = {Ann. Statist.},
volume = {21},
number = {1},
year = {1993},
pages = { 1155-1165},
language = {en},
url = {http://dml.mathdoc.fr/item/1176349255}
}
Assaf, David; Pollak, Moshe; Ritov, Ya'acov; Yakir, Benjamin. Detecting a Change of a Normal Mean by Dynamic Sampling with a Probability Bound on a False Alarm. Ann. Statist., Tome 21 (1993) no. 1, pp. 1155-1165. http://gdmltest.u-ga.fr/item/1176349255/