Dynamic sampling policy for detecting a change in distribution, with a probability bound on false alarm
The Annals of Statistics · 1996 · Volume 24 · Issue 5
Abstract
We show that if dynamic sampling is feasible, then there exist surveillance schemes that satisfy a probability constraint on false alarm. Procedures are suggested for detecting a change of a normal mean from 0 to a (unknown) positive value. These procedures are optimal (up to a constant term) when the post-change mean is known, and almost optimal [up to an $o(\log(1/\alpha))$ term when the post-change mean is unknown.
Keywords
62L10, 62N10, change point detection, control charts, dynamic sampling, quality control
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