A lower bound on the ARL to detection of a change with a probability constraint on false alarm

DOI10.1214/aos/1033066219zbMath0853.62063OpenAlexW2087561340MaRDI QIDQ1922416

Benjamin Yakir

Publication date: 7 January 1997

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

Full work available at URL: https://doi.org/10.1214/aos/1033066219

zbMATH Keywords

inequalitychange-point detectionprobability of false alarmaverage run length to detectionlower bound on the rate of detection

Mathematics Subject Classification ID

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

Related Items

Discord Detection For A Process With A Predefined Interval Of Observations ⋮ Detecting a change in regression: First-order optimality

Cites Work

• Random difference equations and renewal theory for products of random matrices
• Approximations to the expected sample size of certain sequential tests