A lower bound on the ARL to detection of a change with a probability constraint on false alarm. (English) Zbl 0853.62063

Summary: An inequality that relates the probability of false alarm of a change-point detection policy to its average run length to detection is proved. By means of this inequality, a lower bound on the rate of detection, when the change occurs after a long delay, is derived.


62L10 Sequential statistical analysis
62P30 Applications of statistics in engineering and industry; control charts
Full Text: DOI


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