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arXiv · 0804.0741

Sequential change detection revisited

George V. Moustakides
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Abstract

In sequential change detection, existing performance measures differ significantly in the way they treat the time of change. By modeling this quantity as a random time, we introduce a general framework capable of capturing and better understanding most well-known criteria and also propose new ones. For a specific new criterion that constitutes an extension to Lorden's performance measure, we offer the optimum structure for detecting a change in the constant drift of a Brownian motion and a formula for the corresponding optimum performance.

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George V. Moustakides. 2008-04-04. Sequential change detection revisited. https://doi.org/10.1214/009053607000000938

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