Optimality of the CUSUM Procedure
Overview & Synopsis
Optimality of CUSUM under a Lorden type criterion setting is considered. We demonstrate the optimality of the CUSUM test for Itô processes, in a sense similar to Lorden's, but with a criterion that replaces expected delays by the corresponding Kullback-Leibler divergence.
Indexed from repository: HAL Open Science
(
hal.science)
Keyboard Shortcuts:
← / → for pages • + / - for zoom • 0 to fit width
Powered by Mozilla PDF.js v3.11
Document Information
| Document Title | Optimality of the CUSUM Procedure |
|---|---|
| Author / Organization | George V. Moustakides |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2002 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-84474 |
| Original Source Link | Visit Source Page on hal.science » |