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首页> 外文期刊>Sequential analysis >A Comparison of 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
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A Comparison of 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model

机译：比较2-CUSUM停止规则以最快检测布朗运动模型中的双向选择

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摘要

This work compares the performance of all existing 2-CUSUM stopping rules used in the problem of sequential detection of a change in the drift of a Brownian motion in the case of two-sided alternatives. As a performance measure, an extended Lorden criterion is used. According to this criterion, the optimal stopping rule is an equalizer rule. This paper compares the performance of the modified drift harmonic mean 2-CUSUM equalizer rules with the performance of the best classical 2-CUSUM equalizer rule whose threshold parameters are chosen so that equalization is achieved. This comparison is made possible through the derivation of a closed-form formula for the expected value of a general classical 2-CUSUM stopping rule.
机译：这项工作比较了在双向选择的情况下顺序检测布朗运动的漂移变化问题中使用的所有现有2-CUSUM停止规则的性能。作为性能指标，使用扩展的Lorden准则。根据该准则，最佳停止规则是均衡器规则。本文将改进的漂移谐波均值2-CUSUM均衡器规则的性能与最佳经典2-CUSUM均衡器规则的性能进行了比较，经典的2-CUSUM均衡器规则选择了阈值参数以实现均衡。通过为通用经典2-CUSUM停止规则的期望值推导闭式公式，可以进行这种比较。

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