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Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports], 2023, Volume 20, Issue 2, Pages 987–1000
DOI: https://doi.org/10.33048/semi.2023.20.060 (Mi semr1623) 		 
Probability theory and mathematical statistics

Study of characteristics of the CUSUM procedure in a change point problem

V. I. Lotov, A. S. Tarasenko

Sobolev Institute of Mathematics, pr. Koptyuga, 4, 630090, Novosibirsk, Russia
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DOI: https://doi.org/10.33048/semi.2023.20.060
Abstract: We study properties of the CUSUM procedure in a change point problem. This procedure proposes an algorithm for the fastest detecting change in the distribution of observations. We obtain estimates in the form of inequalities for the average delay time in reacting to a change in distribution and for the average time to a false alarm.
Keywords: random walk with delay at origin, CUSUM procedure, change point problem, probabilistic inequalities.
Funding agency Grant number
Russian Science Foundation 22-21-00396
Received June 26, 2023, published November 12, 2023
Document Type: Article
UDC: 519.21
MSC: 60G50
Language: Russian
Citation: V. I. Lotov, A. S. Tarasenko, “Study of characteristics of the CUSUM procedure in a change point problem”, Sib. Èlektron. Mat. Izv., 20:2 (2023), 987–1000
Citation in format AMSBIB
\Bibitem{LotTar23}
\by V.~I.~Lotov, A.~S.~Tarasenko
\paper Study of characteristics of the CUSUM procedure in a change point problem
\jour Sib. \`Elektron. Mat. Izv.
\yr 2023
\vol 20
\issue 2
\pages 987--1000
\mathnet{http://mi.mathnet.ru/semr1623}
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