A lower bound on the ARL to detection of a change with a probability constraint on false alarm
成果类型：
Article
署名作者：
Yakir, B
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
发表日期：
1996
页码：
431-435
关键词：
摘要：
An inequality that relates the probability of false alarm of a change-point detection policy to its average run length to detection is proved. By means of this inequality, a lower bound on the rate of detection, when the change occurs after a long delay, is derived.