The Annals of Statistics

A Note on the Run Length to False Alarm of a Change-Point Detection Policy

Benjamin Yakir

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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.

Article information

Source
Ann. Statist., Volume 23, Number 1 (1995), 272-281.

Dates
First available in Project Euclid: 11 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176324467

Digital Object Identifier
doi:10.1214/aos/1176324467

Mathematical Reviews number (MathSciNet)
MR1331668

Zentralblatt MATH identifier
0828.62072

JSTOR
links.jstor.org

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

Keywords
Quality control control charts change-point detection renewal theory

Citation

Yakir, Benjamin. A Note on the Run Length to False Alarm of a Change-Point Detection Policy. Ann. Statist. 23 (1995), no. 1, 272--281. doi:10.1214/aos/1176324467. https://projecteuclid.org/euclid.aos/1176324467


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