Asymptotic Optimality in Bayesian Changepoint Detection Problems under Global False Alarm Probability Constraint

DOI10.1137/S0040585X97983754zbMath1395.62251arXivmath/0609467MaRDI QIDQ3556737

Alexander G. Tartakovsky

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/0609467

zbMATH Keywords

asymptotic optimalitysequential detectionchange point detectionnonlinear renewal theoryShiryaev's rulecumulative sum procedureglobal false alarm probability

Mathematics Subject Classification ID

Bayesian inference (62F15) Sequential statistical analysis (62L10) Limit theorems in probability theory (60F99)

Related Items (7)

Change-level detection for Lévy subordinators ⋮ State-of-the-art in sequential change-point detection ⋮ An optimization method for change-point monitoring in finite samples sequence ⋮ State-of-the-Art in Bayesian Changepoint Detection ⋮ On the informativeness of measurements in Shiryaev's Bayesian quickest change detection ⋮ Discussion on “Quickest Detection Problems: Fifty Years Later” by Albert N. Shiryaev ⋮ On sequential spectral analysis of amplitude-modulated time series

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