Abstract
A new proof is given to a known result on the average run length to
false alarm of the Shiryayev-Roberts change-point detection policy when
the observations are nonlattice. Via the approach of this new proof, the
average run length to false alarm can be calculated in the lattice case and
for the mixed-type Shiryayev-Roberts scheme.
false alarm of the Shiryayev-Roberts change-point detection policy when
the observations are nonlattice. Via the approach of this new proof, the
average run length to false alarm can be calculated in the lattice case and
for the mixed-type Shiryayev-Roberts scheme.
| Original language | American English |
|---|---|
| Pages (from-to) | 272-281 |
| Number of pages | 10 |
| Journal | Annals of Statistics |
| Volume | 23 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1995 |
Keywords
- Change-point detection
- Control charts
- Quality control
- Renewal theory