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Optimal and asymptotically optimal CUSUM rules for change point detect ion in the Brownian Motion model with multiple alternatives

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.
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https://hal.inria.fr/inria-00071344
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Submitted on : Tuesday, May 23, 2006 - 4:36:41 PM
Last modification on : Friday, January 8, 2021 - 3:43:04 AM
Long-term archiving on: : Tuesday, February 22, 2011 - 11:54:04 AM

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  • HAL Id : inria-00071344, version 1

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Olympia Hadjiliadis, George Moustakides. Optimal and asymptotically optimal CUSUM rules for change point detect ion in the Brownian Motion model with multiple alternatives. [Research Report] RR-5233, INRIA. 2004. ⟨inria-00071344⟩

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