Sequential Changepoint Detection in Quality Control and Dynamical Systems

Abstract

SUMMARY After a brief survey of a large variety of sequential detection procedures that are widely scattered in statistical references on quality control and engineering references on fault detection and signal processing, we study some open problems concerning these procedures and introduce a unified theory of sequential changepoint detection. This theory leads to a class of sequential detection rules which are not too demanding in computational and memory requirements for on-line implementation and yet are nearly optimal under several performance criteria.