Abstract
A new proof is given to a known result on the average run length to false alarm of the Shiryayev-Roberts change-point detection policy when the observations are nonlattice. Via the approach of this new proof, the average run length to false alarm can be calculated in the lattice case and for the mixed-type Shiryayev-Roberts scheme.
Citation
Benjamin Yakir. "A Note on the Run Length to False Alarm of a Change-Point Detection Policy." Ann. Statist. 23 (1) 272 - 281, February, 1995. https://doi.org/10.1214/aos/1176324467
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