Ms. Srivastava et Yh. Wu, DYNAMIC SAMPLING PLAN IN SHIRYAYEV-ROBERTS PROCEDURE FOR DETECTING A CHANGE IN THE DRIFT OF BROWNIAN-MOTION, Annals of statistics, 22(2), 1994, pp. 805-823
In this paper, a dynamic sampling plan in the Shiryayev-Roberts proced
ure is considered. It is shown that a two-rate dynamic sampling plan i
s optimal in the sense that it minimizes the stationary average delay
time (SADT). Analytical results as well as numerical comparisons show
that it is significantly superior to the fixed sampling plan. The comp
arison also shows that it is as powerful as the dynamic sampling proce
dure of Assaf and Ritov. The generalizations to the fastinitial respon
se and to the CUSUM procedure are also briefly discussed.