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Communications in Statistics Volume 4, 1975 - Issue 8
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Original Articles

Sequential detection of a drift change in a wiener process

Michael Bagshaw Federal Reserve Bank of Cleveland
&
Richard A. Johnson Department of Statistics University of Wisconsin
Pages 787-796 | Received 01 Sep 1974, Published online: 17 Feb 2011
 
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Abstract

We derive the distribution of the time to reach a boundary h for the statistic, current position minus previous minimum, applied to a Wiener process. A two-sided version is compared with that of a Wald scheme for detecting a drift change

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