Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables. Issue 3 (30th September 2022)

• Record Type: Journal Article
• Authors: Brown, Marlo
• Is Part Of: Sequential analysis. Volume 41:Issue 3(2022)
• Page Start: 310
• Page End: 324
• Publication Date: 2022-09-30
• Subjects: Bayesian stopping rules -- change-point detection -- dynamic programming -- gradual changes; 62L15 -- 60G40; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2022.2092137
• Languages: English
• ISSNs: 0747-4946

Abstract

Abstract: We look at a sequence of Bernoulli random variables where the success rates change from θ 1 to θ 2 . We will assume that both the success rates before and after the change are known. We also assume that this change does not happen abruptly but gradually over a period of time η where η is known. We calculate the probability that the change has started and completed. We also look at optimal stopping rules assuming that there is a cost for a false alarm and a cost per time unit to stop early.