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Optimal Stopping Times for Detecting Changes in Distributions
The Annals of Statistics · 1986 · Vol. 14(4)
George V. Moustakides✉(Signal Processing (United States))
Abstract
It is shown that Page's stopping time is optimal for the detection of changes in distributions, in a well defined sense. This work is a generalization of an existing result where it was shown that Page's stopping time is optimal asymptotically.
Advanced Statistical Process MonitoringScientific Measurement and Uncertainty EvaluationMathematicsStopping timeOptimal stoppingGeneralizationAsymptotically optimal algorithmApplied mathematicsCombinatoricsStatisticsAlgorithmMathematical analysis
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Biometrika · 1954 · 4,574 citations
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