A Nonparametric Method for Fastest Detection of a Change in the Mean of a Random Sequence

DOI10.1137/1132096zbMath0714.62045OpenAlexW2058217887MaRDI QIDQ3200398

B. E. Brodskii, Boris S. Darkhovsky

Publication date: 1987

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1132096

zbMATH Keywords

asymptotic optimalitychange point problemnonparametric procedureprobability of false alarmdiscrete stochastic processminimum mean delay timestopping strategy

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Nonparametric inference (62G99)

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Nonparametric detection of changepoints for sequentially observed data ⋮ Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems

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