A note on the run length of false alarm of a change-point detection policy

DOI10.1214/aos/1176324467zbMath0828.62072MaRDI QIDQ1895359

Benjamin Yakir

Publication date: 2 January 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324467

zbMATH Keywords

renewal theory; new proof; lattice case; average run length to false alarm; mixed-type Shiryayev-Roberts scheme; Shiryayev-Roberts change- point detection policy

Mathematics Subject Classification ID

62P30: Applications of statistics in engineering and industry; control charts

62L10: Sequential statistical analysis

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