On stochastic models and optimal methods in the quickest detection problems

DOI10.1137/S0040585X97983717zbMATH Open1395.62249OpenAlexW1988901083MaRDI QIDQ3556733FDOQ3556733

Authors: Albert N. Shiryaev 

Publication date: 26 April 2010

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

Full work available at URL: https://doi.org/10.1137/s0040585x97983717

Recommendations

• Quickest detection problems: fifty years later
• Stochastic disorder problems
• Bayesian disorder problems on filtered probability spaces
• A remark on the quickest detection problems
• The general discrete time disorder problem

zbMATH Keywords

stopping timesoptimal stopping rulesquickest detection problem\(\theta\)-modelBayesian \(G\)-modelcontrol charts procedureCUSUM-method

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Signal detection and filtering (aspects of stochastic processes) (60G35) Non-Markovian processes: hypothesis testing (62M07) Optimal stopping in statistics (62L15)

Cited In (17)

• Title not available (Why is that?)
• Quickest detection problems: fifty years later
• Asymptotic optimality theory for active quickest detection with unknown postchange parameters
• Stochastic disorder problems
• Novelty detection based on learning entropy
• Optimal speed of detection in generalized Wiener disorder problems.
• Information, no-arbitrage and completeness for asset price models with a change point
• State-of-the-art in sequential change-point detection
• Optimal redeeming strategy of stock loans under drift uncertainty
• Probability maximizing approach to a detection problem with continuous markov processes
• State-of-the-art in Bayesian changepoint detection
• New approach to the segmentation problem for time series of arbitrary nature
• A survey on concept drift adaptation
• On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion
• A remark on the quickest detection problems
• On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay
• The CUSUM statistics of change-point models based on dependent sequences

This page was built for publication: On stochastic models and optimal methods in the quickest detection problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3556733)