The Annals of Statistics

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

Benjamin Yakir

Full-text: Open access

Abstract

An inequality that relates the probability of false alarm of a change-point detection policy to its average run length to detection is proved. By means of this inequality, a lower bound on the rate of detection, when the change occurs after a long delay, is derived.

Article information

Source
Ann. Statist., Volume 24, Number 1 (1996), 431-435.

Dates
First available in Project Euclid: 26 September 2002

Permanent link to this document
https://projecteuclid.org/euclid.aos/1033066219

Digital Object Identifier
doi:10.1214/aos/1033066219

Mathematical Reviews number (MathSciNet)
MR1389900

Zentralblatt MATH identifier
0853.62063

Subjects
Primary: 62L10: Sequential analysis
Secondary: 62N10

Keywords
Quality control control charts change-point detection sequential tests

Citation

Yakir, Benjamin. A lower bound on the ARL to detection of a change with a probability constraint on false alarm. Ann. Statist. 24 (1996), no. 1, 431--435. doi:10.1214/aos/1033066219. https://projecteuclid.org/euclid.aos/1033066219


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