Abstract
We show that if dynamic sampling is feasible, then there exist surveillance schemes that satisfy a probability constraint on false alarm. Procedures are suggested for detecting a change of a normal mean from 0 to a (unknown) positive value. These procedures are optimal (up to a constant term) when the post-change mean is known, and almost optimal [up to an o(log(1/α)) term] when the post-change mean is unknown.
| Original language | English |
|---|---|
| Pages (from-to) | 2199-2214 |
| Number of pages | 16 |
| Journal | Annals of Statistics |
| Volume | 24 |
| Issue number | 5 |
| DOIs | |
| State | Published - Oct 1996 |
Keywords
- Change point detection
- Control charts
- Dynamic sampling
- Quality control