DETECTING A CHANGE OF A NORMAL-MEAN BY DYNAMIC SAMPLING WITH A PROBABILITY BOUND ON A FALSE ALARM

Authors
ASSAF D POLLAK M RITOV Y YAKIR B
Citation
D. Assaf et al., DETECTING A CHANGE OF A NORMAL-MEAN BY DYNAMIC SAMPLING WITH A PROBABILITY BOUND ON A FALSE ALARM, Annals of statistics, 21(3), 1993, pp. 1155-1165
Citations number
6
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
21
Issue
3
Year of publication
1993
Pages
1155 - 1165
Database
ISI
SICI code
0090-5364(1993)21:3<1155:DACOAN>2.0.ZU;2-E
Abstract
We show that when dynamic sampling is feasible, there exist surveillan ce schemes for which the probability of a false alarm is bounded and w hich have a bounded expected delay when detecting a (true) change. In the case of detecting a change of a normal mean, we probe optimality a nd suggest procedures. These procedures compare favorably to those hav ing a fixed sampling rate which have been developed for an expectation constraint on the average run length until a false alarm.