Multiple Optimality Properties of the Shewhart Test

@inproceedings{Moustakides2014MultipleOP,
  title={Multiple Optimality Properties of the Shewhart Test},
  author={George V. Moustakides},
  year={2014}
}
For the problem of sequential detection of changes, we adopt the probability maximizing approach in place of the classical minimization of the average detection delay and propose modified versions of the Shiryaev, Lorden, and Pollak performance measures. For these alternative formulations, we demonstrate that the optimum sequential detection scheme is the simple Shewhart rule. Interestingly, we can also solve problems that under the classical setup have been open for many years, as optimum… CONTINUE READING

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