On sequential detection of a shift in the probability of a rare event

Ron Kenett, Moshe Pollak

Research output: Contribution to journalArticlepeer-review

43 Scopus citations

Abstract

Suppose one is monitoring a sequence of observations for a possible increase in the probability of a rare event, and that it is not possible to immediately stop the process under observation or influence it to return to its normal state. One would then desire a scheme which takes advantage of observations occurring after a detection of a change is proclaimed. A modification of Page’s CUSUM Procedure is developed, taking account of these additional observations. A table is given enabling one to select a modified Page procedure with a specified rate of false alarms. A comparison is made between the modified Page procedure and a procedure proposed by Chen (1978).

Original languageEnglish
Pages (from-to)389-395
Number of pages7
JournalJournal of the American Statistical Association
Volume78
Issue number382
DOIs
StatePublished - Jun 1983

Keywords

  • Cumulative sum
  • Optimal stopping
  • Page procedure
  • Surveillance

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