The Annals of Statistics
- Ann. Statist.
- Volume 24, Number 1 (1996), 431-435.
A lower bound on the ARL to detection of a change with a probability constraint on false alarm
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.
Ann. Statist., Volume 24, Number 1 (1996), 431-435.
First available in Project Euclid: 26 September 2002
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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