Sequential Change Detection Revisited

@inproceedings{Moustakides2008SequentialCD,
  title={Sequential Change Detection Revisited},
  author={George V. Moustakides},
  year={2008}
}
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… CONTINUE READING
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