A lower bound on the arl to detection of a change with a probability constraint on false alarm

Benjamin Yakir

doi:10.1214/aos/1033066219

A lower bound on the arl to detection of a change with a probability constraint on false alarm

Benjamin Yakir^*

^*Corresponding author for this work

Department of Statistics

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	431-435
Number of pages	5
Journal	Annals of Statistics
Volume	24
Issue number	1
DOIs	https://doi.org/10.1214/aos/1033066219
State	Published - Feb 1996

Keywords

Change-point detection
Control charts
Quality control
Sequential tests

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10.1214/aos/1033066219

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abstract = "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.",

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A lower bound on the arl to detection of a change with a probability constraint on false alarm

Abstract

Keywords

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