Bayesian Sequential Change Diagnosis

DOI10.1287/moor.1070.0307zbMath1297.62179arXiv0710.4847OpenAlexW2148377984MaRDI QIDQ3168978

Christian Goulding, Savas Dayanik, H. Vincent Poor

Publication date: 27 April 2011

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.4847

zbMATH Keywords

Markov chainsoptimal stoppingBayesian sequential change detection and identification

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (9)

Detection and identification of changes of hidden Markov chains: asymptotic theory ⋮ Multistate Bayesian Control Chart Over a Finite Horizon ⋮ Asymptotically optimal Bayesian sequential change detection and identification rules ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ American step-up and step-down default swaps under Lévy models ⋮ Asymptotic optimized CUSUM and EWMA multi-charts for jointly detecting and diagnosing unknown change ⋮ Robust Control of Partially Observable Failing Systems ⋮ Optimal Control of a Partially Observable Failing System with Costly Multivariate Observations ⋮ Optimal Sequential Multiclass Diagnosis

Uses Software

• fda (R)

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