Input-output properties of the Page-Hinkley detector

We consider the stochastic input-output properties of a simple non-linear dynamical system, the so-called Page-Hinkley detector, playing a key role in change detection, and also in queuing theory. We show that for L-mixing inputs with negative expectation the output process of this system is L-mixing. The result is applied to get an upper bound for the false alarm rate. The proof is then adapted to get a similar result for the case of random i.i.d. inputs. Possible extensions and open problems are given in the discussion.