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Reports (Research Report) Year : 2002

Optimality of the CUSUM Procedure


Optimality of CUSUM under a Lorden type criterion setting is considered. We demonstrate the optimality of the CUSUM test for Itô processes, in a sense similar to Lorden's, but with a criterion that replaces expected delays by the corresponding Kullback-Leibler divergence.
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Dates and versions

inria-00072047 , version 1 (23-05-2006)


  • HAL Id : inria-00072047 , version 1


George V. Moustakides. Optimality of the CUSUM Procedure. [Research Report] RR-4541, INRIA. 2002. ⟨inria-00072047⟩
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