Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty (Q5085249): Difference between revisions

Latest revision as of 10:43, 29 July 2024

scientific article; zbMATH DE number 7548191

Language	Label	Description	Also known as
English	Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty	scientific article; zbMATH DE number 7548191

Statements

instance of

scholarly article

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title

Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty (English)

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author

Valérie Girardin

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Victor Konev

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Serguei Pergamenchtchikov

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published in

Sequential Analysis

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publication date

27 June 2022

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zbMATH Keywords

autoregressive processes

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change point detection

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CUSUM rule

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general dependent observation models

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Kullback-Leibler divergence

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robust risk

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sequential detection

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unknown postchange distribution

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/07474946.2022.2043052

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cites work

Q4840215

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Sequential robust estimation for nonparametric autoregressive models

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Q3121550

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Q4023085

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I-divergence geometry of probability distributions and minimization problems

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Uniform concentration inequality for ergodic diffusion processes observed at discrete times

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Geometric ergodicity for classes of homogeneous Markov chains

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Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series

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On guaranteed estimation of the mean of an autoregressive process

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On Information and Sufficiency

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Information bounds and quick detection of parameter changes in stochastic systems

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Q3995465

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Sequential change-point detection when unknown parameters are present in the pre-change distribution

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Markov chains and stochastic stability

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CONTINUOUS INSPECTION SCHEMES

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Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data

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Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis

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Q3704776

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Q5420263

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Minimax Robust Quickest Change Detection

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Identifiers

zbMATH Open document ID

1493.62483

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DOI

10.1080/07474946.2022.2043052

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+I-divergence geometry of probability distributions and minimization problems
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+Uniform concentration inequality for ergodic diffusion processes observed at discrete times
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+Geometric ergodicity for classes of homogeneous Markov chains
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+Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series
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+On guaranteed estimation of the mean of an autoregressive process
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+On Information and Sufficiency
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+Information bounds and quick detection of parameter changes in stochastic systems
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+Sequential change-point detection when unknown parameters are present in the pre-change distribution
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+Markov chains and stochastic stability
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+CONTINUOUS INSPECTION SCHEMES
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+Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data
+Normal rank
@@ Property / cites work @@
+Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
+Normal rank
@@ Property / cites work @@
+Q3704776
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+Normal rank
@@ Property / cites work @@
+Q5420263
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+Minimax Robust Quickest Change Detection
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