The Annals of Statistics

A Dynamic Sampling Approach for Detecting a Change in Distribution

David Assaf

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Abstract

The problem of detecting a change in drift of Brownian motion is considered in the Bayesian framework with the time of change having a (prior) exponential distribution. To the well known problem of finding an optimal stopping rule for "declaring a change," we add the option of continuously controlling the sampling rates--resulting in controlling the variance coefficient of the process. The combined problem of finding an optimal rate function (dynamic sampling) together with an optimal stopping rule is solved and explicit expressions for the quantities of interest are derived. The dynamic sampling procedure is shown to be significantly superior to constant rate sampling. The comparison is most favorable when the expected time until change tends to infinity, where the relative efficiency between the two procedures tends to infinity.

Article information

Source
Ann. Statist., Volume 16, Number 1 (1988), 236-253.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176350702

Digital Object Identifier
doi:10.1214/aos/1176350702

Mathematical Reviews number (MathSciNet)
MR924868

Zentralblatt MATH identifier
0658.62092

JSTOR
links.jstor.org

Subjects
Primary: 62N10
Secondary: 62K05: Optimal designs 60J60: Diffusion processes [See also 58J65] 60J65: Brownian motion [See also 58J65] 62L15: Optimal stopping [See also 60G40, 91A60] 93E20: Optimal stochastic control

Keywords
Detecting a change expected delay probability of false alarm Brownian motion diffusion process stochastic control dynamic sampling optimal stopping

Citation

Assaf, David. A Dynamic Sampling Approach for Detecting a Change in Distribution. Ann. Statist. 16 (1988), no. 1, 236--253. doi:10.1214/aos/1176350702. https://projecteuclid.org/euclid.aos/1176350702


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