Optimal Sequential Change Detection for Fractional Diffusion-Type Processes (Q4918559): Difference between revisions

@@ Property / cites work @@
+A note on Ritov's Bayes approach to the minimax property of the cusum procedure
+Normal rank
@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional {O}rnstein-{U}hlenbeck processes
@@ Property / cites work: Fractional {O}rnstein-{U}hlenbeck processes / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation and pricing under long-memory stochastic volatility
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Quickest Detection
@@ Property / cites work: Quickest Detection / rank @@
+Normal rank
@@ Property / cites work @@
+Q4386500
@@ Property / cites work: Q4386500 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional martingales and characterization of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Statistical analysis of the fractional Ornstein--Uhlenbeck type process
+Normal rank
@@ Property / cites work @@
+Parameter estimation and optimal filtering for fractional type stochastic systems
+Normal rank
@@ Property / cites work @@
+Procedures for Reacting to a Change in Distribution
+Normal rank
@@ Property / cites work @@
+An extension of the Lévy characterization to fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Optimal stopping times for detecting changes in distributions
+Normal rank
@@ Property / cites work @@
+Optimality of the CUSUM procedure in continuous time.
+Normal rank
@@ Property / cites work @@
+Sequential change detection revisited
@@ Property / cites work: Sequential change detection revisited / rank @@
+Normal rank
@@ Property / cites work @@
+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+CONTINUOUS INSPECTION SCHEMES
@@ Property / cites work: CONTINUOUS INSPECTION SCHEMES / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal detection of a change in distribution
@@ Property / cites work: Optimal detection of a change in distribution / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
+Normal rank
@@ Property / cites work @@
+Sequential Testing for Simple Hypotheses for Processes Driven by Fractional Brownian Motion
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Decision theoretic optimality of the cusum procedure
+Normal rank
@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+Q4172681
@@ Property / cites work: Q4172681 / rank @@
+Normal rank
@@ Property / cites work @@
+Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
+Normal rank
@@ Property / cites work @@
+Statistical aspects of the fractional stochastic calculus
+Normal rank
@@ Property / cites work @@
+An inequality of the Hölder type, connected with Stieltjes integration
+Normal rank