Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion

DOI10.1080/07474946.2017.1360088zbMATH Open1489.62251arXiv1610.02680OpenAlexW2531501946MaRDI QIDQ4596534FDOQ4596534

Authors: Taposh Banerjee, George V. Moustakides 

Publication date: 1 December 2017

Published in: Sequential Analysis (Search for Journal in Brave)

Abstract: The problem of detecting a change in the drift of a Brownian motion is considered. The change point is assumed to have a modified exponential prior distribution with unknown parameters. A worst-case analysis with respect to these parameters is adopted leading to a min-max problem formulation. Analytical and numerical justifications are provided towards establishing that the Shiryaev-Roberts procedure with a specially designed starting point is exactly optimal for the proposed mathematical setup.

Full work available at URL: https://arxiv.org/abs/1610.02680

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zbMATH Keywords

minimax optimalityBrownian motionShiryaev-Roberts procedurequickest change detectiondrift change detection

Mathematics Subject Classification ID

Bayesian inference (62F15) Asymptotic properties of parametric tests (62F05) Sequential statistical design (62L05) Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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• On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
• Quickest drift change detection in Lévy-type force of mortality model
• Monotonicity and robustness in Wiener disorder detection
• Optimal and Asymptotically Optimal CUSUM Rules for Change Point Detection in the Brownian Motion Model with Multiple Alternatives
• Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model
• A dynamic sampling approach for detecting a change in distribution
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion
• Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup
• Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
• On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion

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