High moments of two optimal rules of detecting a change in distributions |
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| Authors: | Zhang Jian |
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| Institution: | (1) National University of Defense Technology, 470003 Changsha |
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| Abstract: | The CUSUM rule and Shiryayev-Roberts (S-R) rule, proposed by Page and Shiryayev (or Roberts) respectively, are two asymptotically
optimal rules of detecting a change in distributions. This paper is concerned with the properties of their moments. In the
context of continuous times, explicit formulas of their high moments are established. |
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