An algorithm for detecting a change in a stochastic process

DOI10.1109/TIT.1986.1057160MaRDI QIDQ3729756zbMATH OpenOpenAlexFDO

Authors Rakesh K. Bansal, P. Papantoni-Kazakos

Publication date 1986

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.1986.1057160

zbMATH Keywords

sequential testdetecting a change from one given stationary and ergodicdetecting a change from one given stationary and ergodic stochastic process to anotherstochastic process to another

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stationary stochastic processes (60G10)

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Cited in

(23)

• The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes
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• Outlier-resistant algorithms for detecting a change in a stochastic process
• scientific article; zbMATH DE number 3890568 (Why is no real title available?)
• Detecting whether a stochastic process is finitely expressed in a basis
• Robust sequential algorithms for the detection of changes in data generating processes
• scientific article; zbMATH DE number 4018175 (Why is no real title available?)
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• Robust quickest change detection in nonstationary processes
• Is Average Run Length to False Alarm Always an Informative Criterion?
• SPRT and CUSUM in hidden Markov models
• Optimal detection of changing properties of random sequences. I: Nonsequential detection
• An online change detection test for parametric discrete-time stochastic processes
• scientific article; zbMATH DE number 3905699 (Why is no real title available?)
• Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
• Estimating the likelihood ratio function in the problem of failure of a stochastic process
• Sequential method of detecting change in random processes of recurrence type
• Change detection for uncertain autoregressive dynamic models through nonparametric estimation
• scientific article; zbMATH DE number 4121137 (Why is no real title available?)
• Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
• Change-point problems: bibliography and review
• Sequential detection of transient changes

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