Optimal Sequential Change Detection for Fractional Diffusion-Type Processes

DOI10.1239/jap/1363784422zbMath1349.62368arXiv1102.0598MaRDI QIDQ4918559

Alexandra Chronopoulou, Georgios Fellouris

Publication date: 25 April 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.0598

zbMATH Keywords

fractional Brownian motion; optimality; CUSUM; change-point detection; diffusion-type process; sequential change detection; fractional Ornstein-Uhlenbeck

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

62L10: Sequential statistical analysis

62L12: Sequential estimation

Related Items

On the sequential testing and quickest change-point detection problems for Gaussian processes, Change-point detection for Lévy processes

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation and pricing under long-memory stochastic volatility
• Decision theoretic optimality of the cusum procedure
• Fractional martingales and characterization of the fractional Brownian motion
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• Stochastic analysis of the fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• A note on Ritov's Bayes approach to the minimax property of the cusum procedure
• Fractional {O}rnstein-{U}hlenbeck processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Optimality of the CUSUM procedure in continuous time.
• Sequential change detection revisited
• An extension of the Lévy characterization to fractional Brownian motion
• Statistical aspects of the fractional stochastic calculus
• An inequality of the Hölder type, connected with Stieltjes integration
• Long memory in continuous-time stochastic volatility models
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• The Malliavin Calculus and Related Topics
• Quickest Detection
• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
• Arbitrage with Fractional Brownian Motion
• Sequential Testing for Simple Hypotheses for Processes Driven by Fractional Brownian Motion
• Procedures for Reacting to a Change in Distribution
• CONTINUOUS INSPECTION SCHEMES
• Parameter estimation and optimal filtering for fractional type stochastic systems