Optimality of the CUSUM procedure in continuous time

Annals of Statistics

Volumn 32, Issue 1, 2004, Pages 302-315

  Moustakides, George V ^a,b,c  

^a INRIA   (France)

^b UNIVERSITY OF THESSALY   (Greece)

^c CAMPUS DE BEAULIEU   (France)

Author keywords

Change point; CUSUM; Disorder problem; Kullback Leibler divergence; Sequential detection

Indexed keywords

EID: 26844483539     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/aos/1079120138     Document Type: Article

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