Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model

DOI10.1239/jap/1134587825zbMath1093.62078OpenAlexW2003952691MaRDI QIDQ5476157

Olympia Hadjiliadis

Publication date: 29 June 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1134587825

zbMATH Keywords

detection delaysequential change detectiontwo-sided CUSUM

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (4)

Sequential Sensor Installation for Wiener Disorder Detection ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions ⋮ A Comparison of 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model

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