The Annals of Statistics
- Ann. Statist.
- Volume 17, Number 2 (1989), 793-800.
Dynamic Sampling Procedures for Detecting a Change in the Drift of Brownian Motion: A Non-Bayesian Model
We consider dynamic procedures for sampling from a process (a Brownian motion) and stopping it after a change is detected. The basic idea is to conduct a sequence of similar SPRT's, each one of them done in negligible time, while not sampling at all between them. The procedures detect the change point much faster than the standard procedures with the same sampling rate and time to false alarm, but hold the sampling rate constant.
Ann. Statist., Volume 17, Number 2 (1989), 793-800.
First available in Project Euclid: 12 April 2007
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Assaf, David; Ritov, Ya'acov. Dynamic Sampling Procedures for Detecting a Change in the Drift of Brownian Motion: A Non-Bayesian Model. Ann. Statist. 17 (1989), no. 2, 793--800. doi:10.1214/aos/1176347143. https://projecteuclid.org/euclid.aos/1176347143