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Sequential change detection revisited
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DOI：10.1214/009053607000000938.png)
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摘要
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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.
Keyword:
change-point
disorder problem
sequential detection
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3.7
论文数:
2.8K
被引数:
2.9W
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Comments on a note on optimal detection of a change in distribution, by Benjamin Yakir'.png)
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