Dynamic sampling plan in Shiryayev-Roberts procedure for detecting a change in the drift of Brownian motion (Q1339692)
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scientific article; zbMATH DE number 699863
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| English | Dynamic sampling plan in Shiryayev-Roberts procedure for detecting a change in the drift of Brownian motion |
scientific article; zbMATH DE number 699863 |
Statements
Dynamic sampling plan in Shiryayev-Roberts procedure for detecting a change in the drift of Brownian motion (English)
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3 July 1995
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average run length
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diffusion process
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Shiryayev-Roberts procedure
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two- rate dynamic sampling plan
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stationary average delay time
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CUSUM procedure
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0.875683605670929
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0.8635867238044739
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0.8214057087898254
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