DYNAMIC SAMPLING PLAN IN SHIRYAYEV-ROBERTS PROCEDURE FOR DETECTING A CHANGE IN THE DRIFT OF BROWNIAN-MOTION

• 成果类型: Article
• 署名作者: SRIVASTAVA, MS; WU, YH
• 署名单位: Stanford University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176325496
• 发表日期: 1994
• 页码: 805-823
• 关键词: cusum; schemes

摘要

In this paper, a dynamic sampling plan in the Shiryayev-Roberts procedure is considered. It is shown that a two-rate dynamic sampling plan is optimal in the sense that it minimizes the stationary average delay time (SADT). Analytical results as well as numerical comparisons show that it is significantly superior to the fixed sampling plan. The comparison also shows that it is as powerful as the dynamic sampling procedure of Assaf and Ritov. The generalizations to the fastinitial response and to the CUSUM procedure are also briefly discussed.