The Annals of Statistics · 1986 · 1K citations · 6 references
Natural SciencesComputer ScienceMathematicsProbability TheoryStatisticsStochastic ProcessesChange DetectionMarkov ProcessesOptimal StoppingProbability DistributionsStatistical InferenceStopping TimesDistributional Change DetectionOptimal Stopping RulesStopping Time Analysis
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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E. S. Page · Biometrika · 1954 · 4.7K citations
Procedures for Reacting to a Change in Distribution
G. Lorden · The Annals of Mathematical Statistics · 1971 · 1.4K citations · Full text
Great Expectations: The Theory of Optimal Stopping.
Michael Orkin, Y. S. Chow, Herbert Robbins et al. · Journal of the American Statistical Association · 1975 · 713 citations
Optimal Detection of a Change in Distribution
Moshe Pollak · The Annals of Statistics · 1985 · 592 citations