ON OPTIMALITY OF THE SHIRYAEV-ROBERTS PROCEDURE FOR DETECTING A CHANGE IN DISTRIBUTION
ON OPTIMALITY OF THE SHIRYAEV-ROBERTS PROCEDURE FOR DETECTING A CHANGE IN DISTRIBUTION
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Cleveland, OH: Institute of Mathematical Statistics
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English
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Cleveland, OH: Institute of Mathematical Statistics
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In 1985, for detecting a change in distribution, Pollak introduced a specific minimax performance metric and a randomized version of the Shiryaev—Roberts procedure where the zero initial condition is replaced by a random variable sampled from the quasi-stationary distribution of the Shiryaev—Roberts statistic. Pollak proved that this procedure is t...
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ON OPTIMALITY OF THE SHIRYAEV-ROBERTS PROCEDURE FOR DETECTING A CHANGE IN DISTRIBUTION
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TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aos_1291126963
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aos_1291126963
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ISSN
0090-5364
E-ISSN
2168-8966
DOI
10.1214/09-AOS775
