On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion

DOI10.1137/S0040585X97983791MaRDI QIDQ3556741zbMATH OpenFDO

Authors E. V. Burnaev, Eugene A. Feinberg, Albert N. Shiryaev

Publication date 26 April 2010

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

zbMATH Keywords

Brownian motionminimax riskdisorder problemasymptotical optimality of the first and second orders

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Minimax procedures in statistical decision theory (62C20) Brownian motion (60J65)

Recommendations

• Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
• Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion
• A remark on the quickest detection problems
• scientific article; zbMATH DE number 5509571
• On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model

Cited in

(14)

• Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
• A Comparison of 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
• Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model
• Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
• Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup
• On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
• A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
• Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
• Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion
• Asymptotic design of general triangular stopping boundaries for Brownian motion
• On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
• Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
• On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion

This page was built for publication: On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3556741)