Performance analysis for a changepoint problem

DOI10.1109/9.780440MaRDI QIDQ4506863zbMATH OpenOpenAlexFDO

Authors J. L. Hibey, Charalambos D. Charalambous

Publication date 17 October 2000

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/71e4e9ab6244d3d30a63d76de88610ac86e876a6

zbMATH Keywords

changepoint problemerror probabilityfalse alarm probabilityFokker-Planck equationlikelihood-ratio testsmeasure transformationsnonlinear stochastic differential equations

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Reliability and life testing (62N05) Reliability, availability, maintenance, inspection in operations research (90B25) Estimation and detection in stochastic control theory (93E10)

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(1)

• Quadratic forms for Feynman-Kac semigroups

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