NDLI: Optimality of the 2-cusum Drift Equalizer Rules for Detecting Two-sided Alternatives in the Brownian Motion Model

Content Provider	Semantic Scholar
Author	Hadjiliadis, Olympia
Copyright Year	2005
Abstract	This work employs the Brownian motion model in which observations are taken sequentially. The objective is to detect a two-sided change in the constant drift by means of a stopping rule. As a performance measure, an extended Lorden criterion is used. The goal is to minimize the worst-case detection delay subject to a constraint in the frequency of false alarms. In a companion paper, attention is drawn to a first category of 2-CUSUM rules for which the harmonic mean rule holds. It is further seen that a special class of 2CUSUM stopping rules within this category, called drift equalizer rules, perform strictly better than non-equalizer rules, according to this specific performance measure.
Starting Page	1183
Ending Page	1193
Page Count	11
File Format	PDF HTM / HTML
DOI	10.1239/jap/1134587825
Alternate Webpage(s)	http://userhome.brooklyn.cuny.edu/ohadjiliadis/JAP.pdf
Alternate Webpage(s)	https://doi.org/10.1239/jap%2F1134587825
Volume Number	42
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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