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

DOI10.1214/AOS/1015957476zbMATH Open1105.62366OpenAlexW1543113789MaRDI QIDQ1848848FDOQ1848848

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

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• On Optimum Methods in Quickest Detection Problems
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• Quickest detection with exponential penalty for delay
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Cited In (19)

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

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