A LOWER-BOUND ON THE ARL TO DETECTION OF A CHANGE WITH A PROBABILITY CONSTRAINT ON FALSE ALARM

Authors
YAKIR B
Citation
B. Yakir, A LOWER-BOUND ON THE ARL TO DETECTION OF A CHANGE WITH A PROBABILITY CONSTRAINT ON FALSE ALARM, Annals of statistics, 24(1), 1996, pp. 431-435
Citations number
2
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
24
Issue
1
Year of publication
1996
Pages
431 - 435
Database
ISI
SICI code
0090-5364(1996)24:1<431:ALOTAT>2.0.ZU;2-P
Abstract
An inequality that relates the probability of false alarm of a change- point detection policy to its average run length to detection is prove d. By means of this inequality, a lower bound on the rate of detection , when the change occurs after a long delay, is derived.