A Bayesian sequential testing problem of three hypotheses for Brownian motion
From MaRDI portal
Publication:3104432
DOI10.1524/stnd.2011.1109zbMath1228.62101MaRDI QIDQ3104432
Albert N. Shiryaev, Mikhail Zhitlukhin
Publication date: 19 December 2011
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1524/stnd.2011.1109
62F15: Bayesian inference
62L10: Sequential statistical analysis
62L15: Optimal stopping in statistics
62M02: Markov processes: hypothesis testing
Related Items
Detecting changes in real-time data: a user’s guide to optimal detection, Sequential testing of a Wiener process with costly observations, Bayesian Sequential Composite Hypothesis Testing in Discrete Time, Multi-dimensional sequential testing and detection, Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise, Multisource Bayesian sequential binary hypothesis testing problem, Detecting the presence of a random drift in Brownian motion, Optimal real-time detection of a drifting Brownian coordinate, An optimal sequential procedure for determining the drift of a Brownian motion among three values, Optimal sequential testing for an inverse Gaussian process, On the Wald's Sequential Probability Ratio Test for Lévy Processes
Cites Work