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 | |
| State | Published - Feb 1996 |
Keywords
- Change-point detection
- Control charts
- Quality control
- Sequential tests
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