Optimal detection of changing properties of random sequences. II: Sequential detection
Stopping times; optimal stopping problems; gambling theory (60G40) Foundations and philosophical topics in statistics (62A01) Sufficient statistics and fields (62B05) Sequential estimation (62L12) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10)
[For part I see the preceding review.] An optimal Bayesian sequential detection of a failure is considered under the assumption that the changes in the properties of the obseved process take place gradually and with a probability smaller than 1. In the case of independent observations the likelihood ratio averaged over the distribution of failure proves to be a sufficient statistic. The optimal stopping rules are found, and an illustrative example is given.
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