Sequential Monitoring of a Bernoulli Sequence when the Pre-change Parameter is Unknown

The task of monitoring for a change in the mean of a sequence of Bernoulli random variables has been widely studied. However most existing approaches make at least one of the following assumptions, which may be violated in many real-world situations: 1) the pre-change value of the Bernoulli parameter is known in advance, 2) computational efficiency is not paramount, and 3) enough observations occur between change points to allow asymptotic approximations to be used. We develop a novel change det...