SPRT and CUSUM in hidden Markov models

DOI10.1214/aos/1056562468zbMath1036.60005OpenAlexW2002644365MaRDI QIDQ1412371

Cheng-Der Fuh

Publication date: 10 November 2003

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

Full work available at URL: https://doi.org/10.1214/aos/1056562468

zbMATH Keywords

hidden Markov modelsBrownian approximationproducts of random matriceschange point detectionWald's identity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov renewal processes, semi-Markov processes (60K15) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

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