A note on Bayesian detection of change-points with an expected miss criterion

DOI10.1524/STND.21.1.3.20317MaRDI QIDQ4454292zbMATH OpenOpenAlexFDO

Authors Ioannis Karatzas

Publication date 8 March 2004

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.21.1.3.20317

zbMATH Keywords

sequential detectionvariational inequalitiesstrict local martingales

Mathematics Subject Classification ID

Bayesian inference (62F15) Sequential statistical analysis (62L10) Bayesian problems; characterization of Bayes procedures (62C10) Martingales with continuous parameter (60G44) Optimal stopping in statistics (62L15)

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Cited in

(7)

• Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
• A dynamic sampling approach for detecting a change in distribution
• Sequential change detection revisited
• On confidence intervals for Brownian motion change point times
• The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria
• Predicting the Supremum: Optimality of ‘Stop at Once or Not at All’
• A sequential estimation problem with control and discretionary stopping

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