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Optimal Stopping Times for Detecting Changes in Distributions

George V. Moustakides
The Annals of Statistics
Vol. 14, No. 4 (Dec., 1986), pp. 1379-1387
Stable URL: http://www.jstor.org/stable/2241476
Page Count: 9
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Optimal Stopping Times for Detecting Changes in Distributions
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Abstract

It is shown that Page's stopping time is optimal for the detection of changes in distributions, in a well defined sense. This work is a generalization of an existing result where it was shown that Page's stopping time is optimal asymptotically.

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