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Optimality of the CUSUM Procedure

Abstract : 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.
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https://hal.inria.fr/inria-00072047
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Submitted on : Tuesday, May 23, 2006 - 7:38:26 PM
Last modification on : Tuesday, June 15, 2021 - 4:26:31 PM
Long-term archiving on: : Tuesday, February 22, 2011 - 12:02:32 PM

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  • HAL Id : inria-00072047, version 1

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George Moustakides. Optimality of the CUSUM Procedure. [Research Report] RR-4541, INRIA. 2002. ⟨inria-00072047⟩

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