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Teoriya Veroyatnostei i ee Primeneniya, 2005, Volume 50, Issue 1, Pages 131–144
DOI: https://doi.org/10.4213/tvp161 (Mi tvp161) 		 
This article is cited in 30 scientific papers (total in 30 papers)

Optimal and asymptotically optimal CUSUM rules for change point detection in the Brownian motion model with multiple alternatives

O. Hadjiliadis, V. Moustakides

Columbia University
Full-text PDF (1296 kB) Citations (30)
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DOI: https://doi.org/10.4213/tvp161
Abstract: This work examines the problem of sequential change detection in the constant drift of a Brownian motion in the case of multiple alternatives. As a performance measure an extended Lorden's criterion is proposed. When the possible drifts, assumed after the change, have the same sign, the CUSUM rule, designed to detect the smallest in absolute value drift, is proven to be the optimum. If the drifts have opposite signs, then a specific 2-CUSUM rule is shown to be asymptotically optimal as the frequency of false alarms tends to infinity.
Keywords: change detection, quickest detection, CUSUM, two-sided CUSUM.
Received: 16.12.2002
English version:
Theory of Probability and its Applications, 2006, Volume 50, Issue 1, Pages 75–85
DOI: https://doi.org/10.1137/S0040585X97981494
Bibliographic databases:
Language: English
Citation: O. Hadjiliadis, V. Moustakides, “Optimal and asymptotically optimal CUSUM rules for change point detection in the Brownian motion model with multiple alternatives”, Teor. Veroyatnost. i Primenen., 50:1 (2005), 131–144; Theory Probab. Appl., 50:1 (2006), 75–85
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp/v50/i1/p131
    • This publication is cited in the following 30 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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