On stochastic models and optimal methods in the quickest detection problems

DOI10.1137/S0040585X97983717MaRDI QIDQ3556733zbMATH OpenOpenAlexFDO

Authors Albert N. Shiryaev

Publication date 26 April 2010

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97983717

zbMATH Keywords

\(\theta\)-modelBayesian \(G\)-modelcontrol charts procedureCUSUM-methodoptimal stopping rulesquickest detection problemstopping times

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(18)

• Optimal speed of detection in generalized Wiener disorder problems.
• State-of-the-art in sequential change-point detection
• scientific article; zbMATH DE number 1724306 (Why is no real title available?)
• On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay
• Quickest detection problems: fifty years later
• Probability maximizing approach to a detection problem with continuous markov processes
• On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion
• State-of-the-art in Bayesian changepoint detection
• Stochastic disorder problems
• A remark on the quickest detection problems
• New approach to the segmentation problem for time series of arbitrary nature
• The CUSUM statistics of change-point models based on dependent sequences
• Optimal redeeming strategy of stock loans under drift uncertainty
• A survey on concept drift adaptation
• Asymptotic optimality theory for active quickest detection with unknown postchange parameters
• Novelty detection based on learning entropy
• An extension of the Hajek-Renyi inequality for LENQD random variables and its application
• Information, no-arbitrage and completeness for asset price models with a change point

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