Detection and identification of changes of hidden Markov chains: asymptotic theory

DOI10.1007/s11203-021-09253-5zbMath1493.62481OpenAlexW3202799931MaRDI QIDQ2144194

Kazutoshi Yamazaki, Savas Dayanik

Publication date: 1 June 2022

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-021-09253-5

zbMATH Keywords

optimal stoppinghypothesis testinghidden Markov modelsasymptotic optimalitychange point detection

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Markov processes: estimation; hidden Markov models (62M05) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (2)

A series expansion formula of the scale matrix with applications in CUSUM analysis ⋮ Model misspecification in discrete time Bayesian online change detection

Uses Software

• MCQueue

Cites Work

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