In sequential change detection, existing performance measures differ significantly in the way they treat the time of change. By modeling this quantity as a random time, we introduce a general framework capable of capturing and better understanding most well-known criteria and also propose new ones. For a specific new criterion that constitutes an extension to Lorden’s performance measure, we offer the optimum structure for detecting a change in the constant drift of a Brownian motion and a formula for the corresponding optimum performance.
@article{1205420519,
author = {Moustakides, George V.},
title = {Sequential change detection revisited},
journal = {Ann. Statist.},
volume = {36},
number = {1},
year = {2008},
pages = { 787-807},
language = {en},
url = {http://dml.mathdoc.fr/item/1205420519}
}
Moustakides, George V. Sequential change detection revisited. Ann. Statist., Tome 36 (2008) no. 1, pp. 787-807. http://gdmltest.u-ga.fr/item/1205420519/