Dynamic sampling plan in Shiryayev-Roberts procedure for detecting a change in the drift of Brownian motion

DOI10.1214/aos/1176325496zbMath0816.62067OpenAlexW1995738141MaRDI QIDQ1339692

Yanhong Wu, Muni S. Srivastava

Publication date: 3 July 1995

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

Full work available at URL: https://doi.org/10.1214/aos/1176325496

zbMATH Keywords

diffusion processaverage run lengthCUSUM procedureShiryayev-Roberts procedurestationary average delay timetwo- rate dynamic sampling plan

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

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