It is shown that Page's stopping time is optimal for the detection of changes in distributions, in a well defined sense. This work is a generalization of an existing result where it was shown that Page's stopping time is optimal asymptotically.
Publié le : 1986-12-14
Classification:
62E,
Stopping times,
detection of changes,
sequential analysis
@article{1176350164,
author = {Moustakides, George V.},
title = {Optimal Stopping Times for Detecting Changes in Distributions},
journal = {Ann. Statist.},
volume = {14},
number = {2},
year = {1986},
pages = { 1379-1387},
language = {en},
url = {http://dml.mathdoc.fr/item/1176350164}
}
Moustakides, George V. Optimal Stopping Times for Detecting Changes in Distributions. Ann. Statist., Tome 14 (1986) no. 2, pp. 1379-1387. http://gdmltest.u-ga.fr/item/1176350164/