High Moments of Two Optimal Rules of Detecting a Change in Distributions.

Authors
Jian, Zhang
Citation
Jian, Zhang, High Moments of Two Optimal Rules of Detecting a Change in Distributions., Acta Mathematica Sinica, New Series Chinese Journal of Mathematics, 9(1), 1993, pp. 100-112
Journal title
Acta Mathematica Sinica, New Series Chinese Journal of Mathematics → ACNP
ISSN journal
10009574
Volume
9
Issue
1
Year of publication
1993
Pages
100 - 112
Database
ACNP
SICI code
Abstract
The CUSUM rule and Shiryayev-Roberts (S-R) rule, proposed by Page and Shiryayev (or Roberts) respectively, are two asymptotically optimal rules of detecting a change in distribu- tions. This paper is concerned with the properties of their moments. In the context of continuous times, explicit formulas of their high moments are established.