On-line detection of a part of a sequence with unspecified distribution (Q951210)
From MaRDI portal
scientific article; zbMATH DE number 7015551
- Unspecified distributions in single disorder problem
Language | Label | Description | Also known as |
---|---|---|---|
English | On-line detection of a part of a sequence with unspecified distribution |
scientific article; zbMATH DE number 7015551 |
|
Statements
On-line detection of a part of a sequence with unspecified distribution (English)
0 references
Unspecified distributions in single disorder problem (English)
0 references
30 October 2008
0 references
8 February 2019
0 references
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.
0 references
optimal stopping
0 references
Markov process
0 references
change point detection
0 references
disorder problem
0 references
sequential detection
0 references
Shiryaev procedure
0 references
statistical quality control
0 references
0 references