Decision Theoretic Optimality of the Cusum Procedure
Decision Theoretic Optimality of the Cusum Procedure
Suppose $X_1, X_2, \ldots$ are independent random variables such that for some unknown $\nu$, each of $X_1, \ldots, X_{\nu - 1}$ is distributed according to $F_0$, while $X_\nu, X_{\nu + 1}, \ldots$ are all distributed according to $F_1$. We prove a result of Moustakides that claims that the CUSUM procedures …