The Annals of Statistics
- Ann. Statist.
- Volume 21, Number 3 (1993), 1155-1165.
Detecting a Change of a Normal Mean by Dynamic Sampling with a Probability Bound on a False Alarm
We show that when dynamic sampling is feasible, there exist surveillance schemes for which the probability of a false alarm is bounded and which have a bounded expected delay when detecting a (true) change. In the case of detecting a change of a normal mean, we probe optimality and suggest procedures. These procedures compare favorably to those having a fixed sampling rate which have been developed for an expectation constraint on the average run length until a false alarm.
Ann. Statist., Volume 21, Number 3 (1993), 1155-1165.
First available in Project Euclid: 12 April 2007
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Assaf, David; Pollak, Moshe; Ritov, Ya'acov; Yakir, Benjamin. Detecting a Change of a Normal Mean by Dynamic Sampling with a Probability Bound on a False Alarm. Ann. Statist. 21 (1993), no. 3, 1155--1165. doi:10.1214/aos/1176349255. https://projecteuclid.org/euclid.aos/1176349255