Asymptotic Exponentiality of the Distribution of First Exit Times for a Class of Markov Processes with Applications to Quickest Change Detection

DOI10.1137/S0040585X97983742zbMath1201.60073arXivmath/0609780OpenAlexW2052440644MaRDI QIDQ3556736

Alexander G. Tartakovsky, Moshe Pollak

Publication date: 26 April 2010

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

Full work available at URL: https://arxiv.org/abs/math/0609780

zbMATH Keywords

Markov processstationary distributionchange-point problemsquasi-stationary distributioncouplingfirst exit timeasymptotic exponentialityShiryaev-Roberts proceduresCUSUM procedures

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05)

Related Items

A rule of thumb: run lengths to false alarm of many types of control charts run in parallel on dependent streams are asymptotically independent, State-of-the-art in sequential change-point detection, Detecting an intermittent change of unknown duration, Asymptotically Optimal Quickest Change Detection in Distributed Sensor Systems, Practical aspects of false alarm control for change point detection: beyond average run length, Sequential Common Change Detection and Isolation of Changed Panels in Panel Data, Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data, Bayesian Quickest Detection in Sensor Arrays, An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure, Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis, Input-output properties of the Page-Hinkley detector, Discussion on “Sequential detection/isolation of abrupt changes” by Igor V. Nikiforov