Detecting a Change of a Normal Mean by Dynamic Sampling with a Probability Bound on a False Alarm

David Assaf, Moshe Pollak, Ya'acov Ritov, Benjamin Yakir

Research output: Contribution to journalArticlepeer-review

Abstract

We show that when dynamic sampling is feasible, there exist surveil-
lance schemes for which the probability of a false alarm is bounded and
which have a bounded expected delay when detecting a (true) change. In
the case of detecting a change of a normal mean, we probe optimality and
suggest procedures. These procedures compare favorably to those having a
fixed sampling rate which have been developed for an expectation constraint on the average run length until a false alarm
Original languageAmerican English
Pages (from-to)1155-1165
JournalAnnals of Statistics
Volume21
Issue number3
DOIs
StatePublished - 1993

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