Average run length to false alarm for surveillance schemes designed with partially specified pre-change distribution
成果类型：
Article
署名作者：
Gordon, L; Pollak, M
署名单位：
Hebrew University of Jerusalem
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
发表日期：
1997
页码：
1284-1310
关键词：
摘要：
Observations are taken independently and sequentially. Detection of a change in distribution is studied when the problem has an invariance structure. The prechange distribution is assumed to be a member of a specified family and is assumed known up to a nuisance parameter. We provide a general method of constructing surveillance schemes in the presence of a nuisance parameter and give sufficient conditions for approximating their average run lengths to false alarm. Applications include detecting a change in scale of i.i.d. gamma variates with unknown initial scale, detecting a change in location of i.i.d. normal variates with unknown initial mean, and a non-parametric scheme based on ranks for detecting a change to a stochastically larger distribution.