## Abstract

Suppose X_{1}, X_{2},..., X_{v-1} are iid random variables with distribution F_{0}, and X_{v}, X_{v+1},... are are iid with distributed F_{1}. The change point v is unknown. The problem is to raise an alarm as soon as possible after the distribution changes from F_{0} to F_{1} (detect the change), but to avoid false alarms. Pollak found a version of the Shiryayev-Roberts procedure to be asymptotically optimal for the problem of minimizing the average run length to detection over all stopping times which satisfy a given constraint on the rate of false alarms. Here we find that this procedure is strictly optimal for a slight reformulation of the problem he considered. Explicit formulas are developed for the calculation of the average run length (both before and after the change) for the optimal stopping time.

Original language | American English |
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Pages (from-to) | 2117-2126 |

Number of pages | 10 |

Journal | Annals of Statistics |

Volume | 25 |

Issue number | 5 |

DOIs | |

State | Published - Oct 1997 |

## Keywords

- Bayes rule
- Control charts
- Minimax rule
- Quality control