Sequential change detection revisited

Details Sequential change detection revisited Sequential change detection revisited

2008-04-04

arxiv.org/abs/0804.0741v1

Annals of Statistics 2008, Vol. 36, No. 2, 787-807

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/009053607000000938 the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053607000000938

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.

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