OPTIMALITY PROPERTIES OF THE SHIRYAEV-ROBERTS PROCEDURE
OPTIMALITY PROPERTIES OF THE SHIRYAEV-ROBERTS PROCEDURE
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Institute of Statistical Science, Academia Sinica and International Chinese Statistical Association
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Language
English
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Institute of Statistical Science, Academia Sinica and International Chinese Statistical Association
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In 1961, for detecting a change in the drift of a Brownian motion, Shiryaev introduced what is now usually referred to as the Shiryaev-Roberts procedure. This procedure has a number of optimality and asymptotic optimality properties in various settings. Shiryaev (1961, 1963), and more recently Feinberg and Shiryaev (2006), established exact optimal...
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OPTIMALITY PROPERTIES OF THE SHIRYAEV-ROBERTS PROCEDURE
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TN_cdi_jstor_primary_24308927
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_jstor_primary_24308927
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ISSN
1017-0405
E-ISSN
1996-8507
