Multiple Optimality Properties of the Shewhart Test

For the problem of sequential detection of changes, we adopt the probability maximizing approach in place of the classical minimization of the average detection delay and propose modified versions of the Shiryaev, Lorden, and Pollak performance measures. For these alternative formulations, we demons...

Full description

Saved in:
Bibliographic Details
Published inSequential analysis Vol. 33; no. 3; pp. 318 - 344
Main Author Moustakides, George V.
Format Journal Article
LanguageEnglish
Published Philadelphia Taylor & Francis Group 03.07.2014
Taylor & Francis Ltd
Subjects
Change detection
Computer engineering
Delay
Exact solutions
False alarms
Formulations
Mathematical analysis
Minimization
Optimization
Probability
Sequential analysis
Sequential detection
Shewhart test
Statistics
Online AccessGet full text

Cover

More Information
Summary:For the problem of sequential detection of changes, we adopt the probability maximizing approach in place of the classical minimization of the average detection delay and propose modified versions of the Shiryaev, Lorden, and Pollak performance measures. For these alternative formulations, we demonstrate that the optimum sequential detection scheme is the simple Shewhart rule. Interestingly, we can also solve problems that under the classical setup have been open for many years, as optimum change detection with time-varying observations or with multiple postchange probability measures. For the latter, we also offer the exact solution for Lorden's original setup involving average detection delays, for the case where the average false alarm period is within certain limits.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ObjectType-Article-2
ObjectType-Feature-1
content type line 23
ISSN:0747-4946
1532-4176
DOI:10.1080/07474946.2014.916927