A NOTE ON THE RUN-LENGTH TO FALSE ALARM OF A CHANGE-POINT DETECTION POLICY
成果类型：
Article
署名作者：
YAKIR, B
署名单位：
University of Rochester
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
DOI：
10.1214/aos/1176324467
发表日期：
1995
页码：
272-281
关键词：
摘要：
A new proof is given to a known result on the average run length to false alarm of the Shiryayev-Roberts change-point detection policy when the observations are nonlattice. Via the approach of this new proof, the average run length to false alarm can be calculated in the lattice case and for the mixed-type Shiryayev-Roberts scheme.