Dynamic sampling policy for detecting a change in distribution, with a probability bound on false alarm

被引：5
|
作者：
Yakir, B
机构：
[1] Department of Statistics, Hebrew University of Jerusalem
来源：
ANNALS OF STATISTICS | 1996年 / 24卷 / 05期
关键词：
quality control; control charts; change point detection; dynamic sampling;
D O I：
10.1214/aos/1069362317
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We show that if dynamic sampling is feasible, then there exist surveillance schemes that satisfy a probability constraint on false alarm. Procedures are suggested for detecting a change of a normal mean from 0 to a (unknown) positive value. These procedures are optimal (up to a constant term) when the post-change mean is known, and almost optimal [up to an o(log(1/alpha)) term] when the post-change mean is unknown.
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页码：2199 / 2214
页数：16
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