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Original Articles

Sequential detection of a drift change in a wiener process

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Pages 787-796 | Received 01 Sep 1974, Published online: 17 Feb 2011

References

  • Bagshaw , M. 1974 . Effects of Correlation on Cusum Tests and the Sequential Detection of Time Series Model Changes , Madison : University of Wisconsin . Ph.D. Thesis, Department of Statistics
  • Bagshaw , M. and Johnson , R.A. 1975 . The effect of serial correlation on the performance of cusum tests II . Technometrics , 17 : 73 – 80 .
  • Cox , D.R. and Miller , H.D. 1968 . The Theory of Stochastic Processes , New York : John Wiley and Sons .
  • Darling , D.A. and Siegert , A. 1953 . The first passage problem for a continuous Markoff Process . Ann. Math. Statist. , 24 : 624 – 639 .
  • Van Dobben de Bruyn , D.S. 1968 . Cumulative Sum Tests: Theory and Practice , London : Charles Griffin .
  • Johnson , R.A. and Bagshaw , M. 1974 . The effect of serial correlation on the performance of cusum tests . Technometrics , 16 : 103 – 112 .
  • Page , E.S. 1954 . Continuous inspection schemes . Biometrika , 41 : 100 – 115 .
  • Sweet , A.L. and Hardin , J.C. 1970 . Solutions for some diffusion processes with two barriers . J. Applied Prob. , 1 : 423 – 431 .

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