SEQUENTIAL CHANGE DETECTION REVISITED

@article{Moustakides2008SEQUENTIALCD,
  title={SEQUENTIAL CHANGE DETECTION REVISITED},
  author={George V. Moustakides},
  journal={Annals of Statistics},
  year={2008},
  volume={36},
  pages={787-807}
}
  • G. Moustakides
  • Published 1 April 2008
  • Computer Science
  • Annals of Statistics
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… 

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