Optimal detection of transition probability change in random sequence

DOI10.1080/17442508.2010.540015MaRDI QIDQ3108381zbMATH OpenOpenAlexFDO

Authors Wojciech Sarnowski, Krzysztof J. Szajowski

Publication date 3 January 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.3632

zbMATH Keywords

change pointdisorder problemMarkov processoptimal stoppingsequential detection

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Special processes (60K99)

Abstract: A Markov process is registered. At random moment $heta$ the distribution of observed sequence changes. Using probability maximizing approach the optimal stopping rule for detecting the change is identified. Some explicit solution is obtained.

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Cites work

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Cited in

(10)

• Optimal detection of changing properties of random sequences. II: Sequential detection
• Rationalization of detection of the multiple disorders
• A two-disorder detection problem
• Probability maximizing approach to a detection problem with continuous markov processes
• scientific article; zbMATH DE number 3905692 (Why is no real title available?)
• scientific article; zbMATH DE number 3972035 (Why is no real title available?)
• Precision of sequential change point detection
• On a random number of disorders
• Sequential Detection and Identification of a Change in the Distribution of a Markov-Modulated Random Sequence
• Bayesian quickest change detection for unnormalized and score-based models

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