Multiple optimality properties of the Shewhart test

DOI10.1080/07474946.2014.916927MaRDI QIDQ5495764zbMATH OpenOpenAlexFDO

Authors George V. Moustakides

Publication date 7 August 2014

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.3408

zbMATH Keywords

change detectionsequential detectionShewhart test

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Optimal stopping in statistics (62L15)

Abstract: For the problem of sequential detection of changes, we adopt the probability maximizing approach in place of the classical minimization of the average detection delay, and propose modified versions of the Shiryaev, Lorden and Pollak performance measures. For these alternative formulations, we demonstrate that the optimum sequential detection scheme is the simple Shewhart rule. Interestingly, we can also solve problems which under the classical setup have been open for many years, as optimum change detection with time varying observations or with multiple post-change probability measures. For the last case, we also offer the exact solution for Lorden's original setup when the average false alarm period is within certain limits.

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Cites work

• On Optimum Methods in Quickest Detection Problems
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Cited in

(7)

• Sequential change detection revisited
• A generalized Shiryayev sequential probability ratio test for change detection and isolation
• Sequential detection of common transient signals in high dimensional data stream
• Sequential Detection of an Arbitrary Transient Change Profile by the FMA Test
• Detecting an intermittent change of unknown duration
• Sequential change-point detection: computation versus statistical performance
• Sequential detection of an unknown transient change profile by the finite moving average test

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