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. © Institute ot Mathematical Statistics, 2008.
CITATION STYLE
Moustakides, G. V. (2008). Sequential change detection revisited. Annals of Statistics, 36(2), 787–807. https://doi.org/10.1214/009053607000000938
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