A Note on the Run Length to False Alarm of a Change-Point Detection Policy
A Note on the Run Length to False Alarm of a Change-Point Detection Policy
A new proof is given to a known result on the average run length to false alarm of the Shiryayev-Roberts change-point detection policy when the observations are nonlattice. Via the approach of this new proof, the average run length to false alarm can be calculated in the lattice case and …