Quickest detection with exponential penalty for delay

DOI10.1214/aos/1024691466zbMath0927.62077MaRDI QIDQ1307093

H. Vincent Poor

Publication date: 13 December 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1024691466

zbMATH Keywords

quickest detection; change point problems; exponential cost

Mathematics Subject Classification ID

94A13: Detection theory in information and communication theory

62L10: Sequential statistical analysis

62L15: Optimal stopping in statistics

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Detecting changes in real-time data: a user’s guide to optimal detection, Bayesian Quickest Detection Problems for Some Diffusion Processes, Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model, Multiple Optimality Properties of the Shewhart Test, Finite horizon sequential detection with exponential penalty for the delay, Bayesian quickest detection of credit card fraud, Model misspecification in discrete time Bayesian online change detection, On the Wiener disorder problem, Change-point detection for Lévy processes, A note on sequential detection with exponential penalty for the delay., Optimality of the CUSUM procedure in continuous time., On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay, The disorder problem for purely jump Lévy processes with completely monotone jumps, Sequential change detection revisited, Optimality of Non-Restarting CUSUM Charts, Bayesian Switching Multiple Disorder Problems, Optimal Sequential Surveillance for Finance, Public Health, and Other Areas, Optimal Surveillance Based on Exponentially Weighted Moving Averages, Detection of disorder before an observable event, Properties and Use of the Shewhart Method and Its Followers, Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems, Is Average Run Length to False Alarm Always an Informative Criterion?, Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions, Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution

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