Dynamic sampling policy for detecting a change in distribution, with a probability bound 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
DOI：
10.1214/aos/1069362317
发表日期：
1996
页码：
2199-2214
关键词：
摘要：
We show that if dynamic sampling is feasible, then there exist surveillance schemes that satisfy a probability constraint on false alarm. Procedures are suggested for detecting a change of a normal mean from 0 to a (unknown) positive value. These procedures are optimal (up to a constant term) when the post-change mean is known, and almost optimal [up to an o(log(1/alpha)) term] when the post-change mean is unknown.