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

DOI10.2307/3318460zbMATH Open0910.62076OpenAlexW2073956641MaRDI QIDQ1380403FDOQ1380403

Authors: 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

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zbMATH Keywords

change pointBrownian motionsequential detectionBayes risktests of power one

Mathematics Subject Classification ID

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

Cited In (15)

• Finite horizon sequential detection with exponential penalty for the delay
• Monotonicity and robustness in Wiener disorder detection
• Title not available (Why is that?)
• Adaptive Poisson disorder problem
• Quickest detection with discretely controlled observations
• A note on Bayesian detection of change-points with an expected miss criterion
• Evaluations of likelihood ratio methods for surveillance.
• Is Average Run Length to False Alarm Always an Informative Criterion?
• On confidence intervals for Brownian motion change point times
• Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
• Optimal tests for the general two-sample problem
• Change point testing for the drift parameters of a periodic mean reversion process
• Optimal stopping via measure transformation: the Beibel–Lerche approach
• Quickest real-time detection of a Brownian coordinate drift
• On the Wiener disorder problem

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