Dynamic sampling procedures for detecting a change in the drift of Brownian motion: A non-Bayesian model

DOI10.1214/aos/1176347143zbMath0672.62083OpenAlexW2017933222MaRDI QIDQ1120232

Ya'acov Ritov, David Assaf

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347143

zbMATH Keywords

Brownian motionsampling ratechange pointSPRTCUSUM proceduredynamic samplingRoberts-Shiryayev proceduretime to false alarm

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (6)

Discord Detection For A Process With A Predefined Interval Of Observations ⋮ Dynamic sampling plans in on‐line control charts ⋮ Adaptive sampling for detecting a change point in the past ⋮ Control charts applying a general sequential test at each sampling point ⋮ Discussion on “Sequential Design and Estimation in Heteroscedastic Nonparametric Regression” by Sam Efromovich ⋮ Imperfect surveillance schemes for detecting a change in the distribution of a stationary process. the markovian case

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