Geodesic
Study of characteristics of the CUSUM procedure in a change point problem
Sibirskie èlektronnye matematičeskie izvestiâ, Tome 20 (2023) no. 2, pp. 987-1000

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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. 
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V. I. Lotov; A. S. Tarasenko. Study of characteristics of the CUSUM procedure in a change point problem. Sibirskie èlektronnye matematičeskie izvestiâ, Tome 20 (2023) no. 2, pp. 987-1000. http://geodesic.mathdoc.fr/item/SEMR_2023_20_2_a29/