Optimality of the CUSUM procedure in continuous time

• 成果类型: Article
• 署名作者: Moustakides, GV
• 署名单位: Universite de Rennes; University of Thessaly
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 2004
• 页码: 302-315
• 关键词: quickest detection

摘要

The optimality of CUSUM under a Lorden-type criterion setting is considered. We demonstrate the optimality of the CUSUM test for lto processes, in a sense similar to Lorden's, but with a criterion that replaces expected delays by the corresponding Kullback-Leibler divergence.