Optimality of the CUSUM procedure in continuous time
The Annals of StatisticsPublished 1 February 2004Open access
George V. Moustakides
Citations95
SJR quartileQ1
SJR score4.77
SNIP3.13
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TL;DR
It is demonstrated the optimality of the CUSUM test for Ito processes, in a sense similar to Lorden's, but with a criterion that replaces expected delays by the corresponding Kullback-Leibler divergence.
Abstract
The 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.
Keywords
Decision SciencesMathematics
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