摘要
本文研究了有限相依样本序列的非贝叶斯变点检测问题.通过引入非负动态随机控制线,我们不仅构造并证明了两个最优控制图,而且还得到了比原定义更容易计算的Lorden测度和Pollak测度的最小值的表达式.
This paper studies the non-Bayesian change-point detection of finite dependent samples sequence.By presenting the nonnegative dynamic random control limits,we not only constructed and proved two optimal control charts,but also obtained the expressions for the minimum values of Lorden’s measure and Pollak’s measure that are easier to calculate than the original definition.
作者
韩东
宗福季
HAN Dong;TSUNG Fugee(Department of Statistics,School of Mathematical Sciences,Shanghai Jiao Tong University,Shanghai,200240,China;Department of Industrial Engineering and Decision Analytics,The Hong Kong University of Science and Technology,Hongkong;Data Science and Analytics Thrust,The Hong Kong University of Science and Technology(Guangzhou),Guangzhou,520700,China)
出处
《应用概率统计》
CSCD
北大核心
2024年第2期277-286,共10页
Chinese Journal of Applied Probability and Statistics
基金
supported by the National Natural Science Foundation of China(Grant Nos.72371271,11531001).
关键词
最优控制图
非贝叶斯变点监测
相依样本序列
optimal control chart
non-Bayesian change-point detection
dependent observation sequence
