Change-point detection for Lévy processes
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Publication:1737954
DOI10.1214/17-AAP1368zbMath1416.62455arXiv1611.01561OpenAlexW2913294989MaRDI QIDQ1737954
Sveinn Ólafsson, José E. Figueroa-López
Publication date: 24 April 2019
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.01561
Processes with independent increments; Lévy processes (60G51) Nonparametric hypothesis testing (62G10) Applications of statistics in engineering and industry; control charts (62P30) Minimax procedures in statistical decision theory (62C20) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)
Related Items
Change-level detection for Lévy subordinators, Compound Poisson disorder problem with uniformly distributed disorder time, Change-point detection for Lévy processes
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