Sequential change-point detection in continuous time when the post-change drift is unknown

DOI10.2307/3318460zbMath0910.62076OpenAlexW2073956641MaRDI QIDQ1380403

M. Beibel

Publication date: 22 April 1999

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1175882219

zbMATH Keywords

Brownian motionBayes riskchange pointsequential detectiontests of power one

Mathematics Subject Classification ID

Bayesian inference (62F15) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

Related Items (10)

Adaptive Poisson disorder problem ⋮ Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem ⋮ Monotonicity and robustness in Wiener disorder detection ⋮ Change point testing for the drift parameters of a periodic mean reversion process ⋮ Is Average Run Length to False Alarm Always an Informative Criterion? ⋮ On the Wiener disorder problem ⋮ Quickest Detection with Discretely Controlled Observations ⋮ Optimal tests for the general two-sample problem ⋮ Evaluations of likelihood ratio methods for surveillance. ⋮ Optimal stopping via measure transformation: the Beibel–Lerche approach

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