Comparative Analysis of Some Nonparametric Methods of Fastest Detection of the Moment of “Disorder” of a Random Sequence
B. B. Brodskii, B. S. Darhovskii · Theory of Probability and Its Applications · 1991
Previous article Next article Comparative Analysis of Some Nonparametric Methods of Fastest Detection of the Moment of “Disorder” of a Random SequenceB. B. Brodskii and B. S. DarhovskiiB. B. Brodskii and B. S. Darhovskiihttps://doi.org/10.1137/1135096PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] A. J. Duncan, Quality Control and Industrial Statistics, Irwin, New York, 1974 Google Scholar[2] E. S. Page, Continuous inspection schemes, Biometrika, 41 (1954), 100–115 19,589d 0056.38002 CrossrefGoogle Scholar[3] E. S. Page, A test for a change in a parameter occurring at an unknown point, Biometrika, 42 (1955), 523–527 17,280b 0067.11602 CrossrefGoogle Scholar[4] A. N. Shiryaev, Statistical sequential analysis, American Mathematical Society, Providence, R.I., 1973iv+174 50:3482 0267.62039 Google Scholar[5] N. Kligene and , L. Tel'ksnis, Methods of detection of the moment of the change of random processes properties, Automat. Remote Control, 10 (1983), 5–56, (In Russian.) Google Scholar[6] S. Zacks, Survey of classical and Bayesian approaches to the change-point problem: fixed sample and sequential procedures of testing and estimationRecent advances in statistics, Academic Press, New York, 1983, 245–269 86e:62011 0563.62062 CrossrefGoogle Scholar[7] G. Lorden, Procedures for reacting to a change in distribution, Ann. Math. Statist., 42 (1971), 1897–1908 46:8361 0255.62067 CrossrefGoogle Scholar[8] M. Pollak and , D. Siegmund, Approximations to the expected sample size of certain sequential tests, Ann. Statist., 3 (1975), 1267–1282 53:6927 0347.62063 CrossrefGoogle Scholar[9] Moshe Pollak, Optimal detection of a change in distribution, Ann. Statist., 13 (1985), 206–227 86f:62137 0573.62074 CrossrefGoogle Scholar[10] M. A. Girshick and , Herman Rubin, A Bayes approach to a quality control model, Ann. Math. Statistics, 23 (1952), 114–125 13,854b 0046.35405 CrossrefGoogle Scholar[11] A. N. Shiryaev, Problem of fastest detection of stationary conditions, Soviet Math. Dokl., 138 (1961), 1039–1042, (In Russian.) 0109.11201 Google Scholar[12] B. E. Brodsky and , B. S. Darhovsky, On a problem of the fastest detection of moment of a change of probability characteristics of a random sequence, Automat. Remote Control, 10 (1983), 101–108, (In Russian.) Google Scholar[13] B. S. Darhovsky and , B. E. Brodsky, Nonparametric method of the fastest detection of a change in the mean of a random sequence, Theory Probab. Appl., 32 (1987), 640–648 10.1137/1132096 LinkGoogle Scholar[14] B. S. Darhovsky, General method of estimation of the change moment of probability characteristics of a random sequenceStatistical Problems of a Control, Issue 65, CC AN LitSSR, Vilnius, 1984, 76–82, (In Russian.) Google Scholar[15] V. V. Petrov, Limit Theorems for Sums of Independent Random Variables, Nauka, Moscow, 1987, (In Russian.) Google Scholar[16] Magda Peligrad, Invariance principles for mixing sequences of random variables, Ann. Probab., 10 (1982), 968–981 84c:60054 0503.60044 CrossrefGoogle Scholar[17] D. Siegmund, Sequential Analysis, Springer-Verlag, Berlin, New York, 1982 Google Scholar[18] Patrick Billingsley, Convergence of probability measures, John Wiley & Sons Inc., New York, 1968xii+253 38:1718 0172.21201 Google Scholar[19] S. M. Roberts, A comparison of some control chart procedures, Technometrics, 8 (1966), 411–430 33:5071 CrossrefGoogle Scholar Previous article Next article FiguresRelatedReferencesCited ByDetails Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun MeiSequential Analysis, Vol. 27, No. 4 | 4 Nov 2008 Cross Ref Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection ProblemsSequential Analysis, Vol. 27, No. 2 | 13 May 2008 Cross Ref Nonparametric detection of changepoints for sequentially observed dataStochastic Processes and their Applications, Vol. 51, No. 2 | 1 Jul 1994 Cross Ref Volume 35, Issue 4| 1991Theory of Probability & Its Applications625-829 History Submitted:20 April 1988Published online:17 July 2006 InformationCopyright © Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1135096Article page range:pp. 639-652ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics