On-line detection of a part of a sequence with unspecified distribution (Q951210)
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English | On-line detection of a part of a sequence with unspecified distribution |
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On-line detection of a part of a sequence with unspecified distribution (English)
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30 October 2008
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A discrete time Markov process is observed. At two random moments \(\theta _{1}, \theta _{2}\), where \(\theta _{1}< \theta _{2}\), the distribution of the observed sequence changes. The distribution is assumed to be known before \(\theta _{1}\) and after \(\theta _{2}\), but between these instants is unknown, chosen randomly from a finite set of distributions. The optimal stopping rule for stopping the observations between the disorders \(\theta _{1}\) and \(\theta _{2}\) is identified.
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optimal stopping
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Markov process
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