Исследование характеристик процедуры кумулятивных сумм в задаче скорейшего обнаружения разладки

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.