Optimality of the CUSUM procedure in continuous time

dc.creator	Moustakides, G. V.	en
dc.date.accessioned	2015-11-23T10:39:59Z
dc.date.available	2015-11-23T10:39:59Z
dc.date.issued	2004
dc.identifier.issn	0090-5364
dc.identifier.uri	http://hdl.handle.net/11615/31166
dc.description.abstract	The optimality of CUSUM under a Lorden-type criterion setting is considered. We demonstrate the optimality of the CUSUM test for lto processes, in a sense similar to Lorden's, but with a criterion that replaces expected delays by the corresponding Kullback-Leibler divergence.	en
dc.source.uri	<Go to ISI>://WOS:000220612600022
dc.subject	CUSUM	en
dc.subject	change point	en
dc.subject	disorder problem	en
dc.subject	sequential detection	en
dc.subject	Kullback-Leibler divergence	en
dc.subject	QUICKEST DETECTION	en
dc.subject	Statistics & Probability	en
dc.title	Optimality of the CUSUM procedure in continuous time	en
dc.type	journalArticle	en

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