Sequential detection of a drift change in a wiener process
- 1 January 1975
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics
- Vol. 4 (8) , 787-796
- https://doi.org/10.1080/03610927508827289
Abstract
We derive the distribution of the time to reach a boundary h for the statistic, current position minus previous minimum, applied to a Wiener process. A two-sided version is compared with that of a Wald scheme for detecting a drift changeKeywords
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