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Dynamic sampling policy for detecting a change in distribution, with a probability bound on false alarm. (English) Zbl 0880.62084

Summary: We show that if dynamic sampling is feasible, then there exist surveillance schemes that satisfy a probability constraint on false alarm. Procedures are suggested for detecting a change of a normal mean from 0 to a (unknown) positive value. These procedures are optimal (up to a constant term) when the post-change mean is known, and almost optimal [up to an \(o(\log (1/ \alpha))\) term] when the post-change mean is unknown.

MSC:

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