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A Comparison of 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
- DOI:
- 10.1080/07474940802619410
pages 92-114
Available online: 04 Feb 2009Abstract
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.
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- Available online: 04 Feb 2009
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- a Department of Mathematics, Brooklyn College, Brooklyn, New York, USA
- b Department of Statistics, Columbia University, New York, New York, USA
- c Department of Computer Science, Hunter College, New York, New York, USA
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