Optimal stopping times for detecting changes in distributions (Q1088353)
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scientific article; zbMATH DE number 3990693
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stopping times for detecting changes in distributions |
scientific article; zbMATH DE number 3990693 |
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Optimal stopping times for detecting changes in distributions (English)
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1986
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It is shown that for the detection of changes in distributions a stopping time introduced by \textit{E. S. Page} [Biometrika 41, 100-115 (1954; Zbl 0056.380)] is optimal with respect to a ''minimax type'' criterion proposed by \textit{G. Lorden} [Ann. Math. Stat. 42, 1897-1908 (1971; Zbl 0255.62067)]. Lorden has already proved that Page's stopping time is optimal asymptotically.
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change point problem
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equalizer rules
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detection of changes
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stopping time
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