A note on sequential detection with exponential penalty for the delay.

DOI10.1214/AOS/1015957476MaRDI QIDQ1848848zbMATH OpenOpenAlexFDO

Authors M. Beibel

Publication date 14 November 2002

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

Full work available at URL https://doi.org/10.1214/aos/1015957476

Mathematics Subject Classification ID

Sequential statistical analysis (62L10)

Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 1057570 (Why is no real title available?)
• scientific article; zbMATH DE number 3226630 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• On Optimum Methods in Quickest Detection Problems
• Quickest detection with exponential penalty for delay

Cited in

(19)

• Bayesian quickest detection problems for some diffusion processes
• Model misspecification in discrete time Bayesian online change detection
• Detection of disorder before an observable event
• Optimal Surveillance Based on Exponentially Weighted Moving Averages
• Optimal stopping via measure transformation: the Beibel–Lerche approach
• On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
• Finite horizon sequential detection with exponential penalty for the delay
• On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay
• On the Wiener disorder problem
• Properties and Use of the Shewhart Method and Its Followers
• Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
• Sequential sensor installation for Wiener disorder detection
• The disorder problem for purely jump Lévy processes with completely monotone jumps
• Bayesian switching multiple disorder problems
• Quickest detection with discretely controlled observations
• Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
• Bayesian quickest detection of credit card fraud
• Compound Poisson disorder problems with nonlinear detection delay penalty cost functions
• The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria

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