Optimality of the CUSUM Procedure
نویسنده
چکیده
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 KullbackLeibler divergence. Key-words: CUSUM, change-point, disorder problem, Kullback-Leibler divergence, sequential detection. Optimalité de la Procédure CUSUM Résumé : On considère l’optimalité de CUSUM avec un critère du type Lorden. On démontre l’optimalité du test CUSUM pour les processus d’Itô dans un cadre similaire de Lorden, mais avec un critère qui remplace les délais moyens avec la divergence du KullbackLeibler correspondante. Mots-clés : CUSUM, détection des ruptures, divergence du Kullback-Leibler, détection séquentielle. Optimality of CUSUM i
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