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

DOI10.2307/3318460MaRDI QIDQ1380403zbMATH OpenOpenAlexFDO

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

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)

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(15)

• Finite horizon sequential detection with exponential penalty for the delay
• Monotonicity and robustness in Wiener disorder detection
• scientific article; zbMATH DE number 5509571 (Why is no real title available?)
• 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?
• Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
• On confidence intervals for Brownian motion change point times
• 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
• On the Wiener disorder problem
• Quickest real-time detection of a Brownian coordinate drift

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