On stochastic models and optimal methods in the quickest detection problems

DOI10.1137/S0040585X97983717MaRDI QIDQ3556733zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(17)

• scientific article; zbMATH DE number 1724306 (Why is no real title available?)
• 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

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