scientific article; zbMATH DE number 5509571
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Publication:3605066
zbMATH Open1154.62061MaRDI QIDQ3605066FDOQ3605066
Authors: Hans Rudolf Lerche, Ilse Maahs 
Publication date: 19 February 2009
Title of this publication is not available (Why is that?)
Recommendations
- Bayesian sequential testing of the drift of a Brownian motion
- Sequential change-point detection in continuous time when the post-change drift is unknown
- Detecting the presence of a random drift in Brownian motion
- Dynamic sampling procedures for detecting a change in the drift of Brownian motion: A non-Bayesian model
- Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
- Optimal real-time detection of a drifting Brownian coordinate
- Sequential change-point detection for diffusion processes
- A Bayesian sequential test for the drift of a fractional Brownian motion
- Sequential change detection in the presence of unknown parameters
Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02) Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
Cited In (13)
- Monotonicity and robustness in Wiener disorder detection
- Dynamic sampling procedures for detecting a change in the drift of Brownian motion: A non-Bayesian model
- On Chernoff's hypotheses testing problem for the drift of a Brownian motion
- On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion
- A note on Bayesian detection of change-points with an expected miss criterion
- Detecting the presence of a random drift in Brownian motion
- Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
- On confidence intervals for Brownian motion change point times
- Optimal real-time detection of a drifting Brownian coordinate
- Bounds for the Bayes risk for testing sequentially the sign of the drift parameter of a Wiener process
- Title not available (Why is that?)
- An optimal sequential procedure for determining the drift of a Brownian motion among three values
- The shape of Bayes tests of power one
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