Optimal stopping times for detecting changes in distributions

Authors
Moustakides, George V.
Citation
V. Moustakides, George, Optimal stopping times for detecting changes in distributions, Annals of statistics , 14(4), 1986, pp. 1379-1387
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
14
Issue
4
Year of publication
1986
Pages
1379 - 1387
Database
ACNP
SICI code
Abstract
It is shown that Page's stopping time is optimal for the detection of changes in distributions, in a well defined sense. This work is a generalization of an existing result where it was shown that Page's stopping time is optimal asymptotically.