A NOTE ON THE RUN-LENGTH TO FALSE ALARM OF A CHANGE-POINT DETECTION POLICY

Authors
YAKIR B
Citation
B. Yakir, A NOTE ON THE RUN-LENGTH TO FALSE ALARM OF A CHANGE-POINT DETECTION POLICY, Annals of statistics, 23(1), 1995, pp. 272-281
Citations number
6
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
23
Issue
1
Year of publication
1995
Pages
272 - 281
Database
ISI
SICI code
0090-5364(1995)23:1<272:ANOTRT>2.0.ZU;2-W
Abstract
A new proof is given to a known result on the average run length to fa lse alarm of the Shiryayev-Roberts change-point detection policy when the observations are nonlattice. Via the approach of this new proof, t he average run length to false alarm can be calculated in the lattice case and for the mixed-type Shiryayev-Roberts scheme.