Quickest detection with exponential penalty for delay

DOI10.1214/aos/1024691466zbMath0927.62077OpenAlexW2170854294MaRDI QIDQ1307093

H. Vincent Poor

Publication date: 13 December 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1024691466

zbMATH Keywords

quickest detectionchange point problemsexponential cost

Mathematics Subject Classification ID

Detection theory in information and communication theory (94A13) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (24)

Optimality of the CUSUM procedure in continuous time. ⋮ Properties and Use of the Shewhart Method and Its Followers ⋮ Bayesian Switching Multiple Disorder Problems ⋮ Detecting changes in real-time data: a user’s guide to optimal detection ⋮ Optimality of Non-Restarting CUSUM Charts ⋮ Finite horizon sequential detection with exponential penalty for the delay ⋮ Bayesian quickest detection of credit card fraud ⋮ Sequential change detection revisited ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems ⋮ Is Average Run Length to False Alarm Always an Informative Criterion? ⋮ Change-point detection for Lévy processes ⋮ Bayesian Quickest Detection Problems for Some Diffusion Processes ⋮ Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions ⋮ On the Wiener disorder problem ⋮ The disorder problem for purely jump Lévy processes with completely monotone jumps ⋮ Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution ⋮ Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model ⋮ Optimal Sequential Surveillance for Finance, Public Health, and Other Areas ⋮ Multiple Optimality Properties of the Shewhart Test ⋮ On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay ⋮ Optimal Surveillance Based on Exponentially Weighted Moving Averages ⋮ A note on sequential detection with exponential penalty for the delay. ⋮ Detection of disorder before an observable event

Cites Work

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