Asymptotic properties of CUSUM and Shiryaev's procedures for detecting a change in a nonhomogeneous Gaussian process

zbMath0852.62070MaRDI QIDQ1909013

Alexander G. Tartakovsky

Publication date: 7 March 1996

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

inequalitiescontinuous timerelative efficiencychange pointasymptotic approximationsoperating characteristicsmean time to false alarmrate of false alarmsasymptotic power nonhomogeneityaverage detection delayGaussian nonhomogeneous processnonrandom functionsequential detection procedures

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Inference from stochastic processes (62M99) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

Related Items (5)

Optimality of the CUSUM procedure in continuous time. ⋮ Detection of intrusions in information systems by sequential change-point methods ⋮ Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model ⋮ Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models ⋮ Change-Point Detection in Binomial Thinning Processes, with Applications in Epidemiology

This page was built for publication: Asymptotic properties of CUSUM and Shiryaev's procedures for detecting a change in a nonhomogeneous Gaussian process