A DOUBLE SEQUENTIAL PROCEDURE FOR DETECTING A CHANGE IN DISTRIBUTION
成果类型：
Article
署名作者：
ASSAF, D; RITOV, Y
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
发表日期：
1988
页码：
715722
关键词：
摘要：
Let X1, X2,...be such that X1,...,XT-1 have the distribution Fo, while XT, XT+1,... have the distribution F1. Think of X1, X2,... as samples from large batches and suppose T has a prior geometric distribution. Sampling from each batch is assumed to give rise to a Brownian motion process and we are interested in both an optimal sampling scheme and an optimal stopping time to detect the changepoint T. The suggested procedure may roughly be described as a sequence of sequential probability ratio tests. A comparison of our procedure with the fixed size sampling procedure, with the same level of false alarms and the same average sample size per batch, shows that our procedure is significantly superior in that it detects the changepoint much faster.