DYNAMIC SAMPLING POLICY FOR DETECTING A CHANGE IN DISTRIBUTION, WITH A PROBABILITY BOUND ON FALSE ALARM

Authors
YAKIR B
Citation
B. Yakir, DYNAMIC SAMPLING POLICY FOR DETECTING A CHANGE IN DISTRIBUTION, WITH A PROBABILITY BOUND ON FALSE ALARM, Annals of statistics, 24(5), 1996, pp. 2199-2214
Citations number
8
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
24
Issue
5
Year of publication
1996
Pages
2199 - 2214
Database
ISI
SICI code
0090-5364(1996)24:5<2199:DSPFDA>2.0.ZU;2-A
Abstract
We show that if dynamic sampling is feasible, then there exist surveil lance schemes that satisfy a probability constraint on false alarm. Pr ocedures are suggested for detecting a change of a normal mean from 0 to a (unknown) positive value. These procedures are optimal (up to a c onstant 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.