Optimal Stopping Times for Detecting Changes in Distributions
Open Access
- 1 December 1986
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 14 (4) , 1379-1387
- https://doi.org/10.1214/aos/1176350164
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.Keywords
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