Quickest detection of an accumulated state-dependent change point

DOI10.1080/07474946.2020.1766928MaRDI QIDQ4964402zbMATH OpenOpenAlexFDO

Authors Liang Cai

Publication date 2 March 2021

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2020.1766928

zbMATH Keywords

accumulated state-dependent abruptionBayesian sequential analysisoptimal stopping rulesquickest detection in continuous time

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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Cites work

• Asymptotic Properties of a Mean-Field Model with a Continuous-State-Dependent Switching Process
• Bayesian quickest detection problems for some diffusion processes
• Data-efficient quickest change detection with on-off observation control
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Hybrid switching diffusions. Properties and applications
• Optimal Stopping Rules
• Quickest Detection
• Quickest detection of a state-dependent change-point in discrete time
• Quickest detection problems: fifty years later

Cited in

(7)

• On asymptotic description of a probabilistic change-point model for a two-state discrete Markov process
• Change-point detection for piecewise deterministic Markov processes
• Change-point detection for continuous processes with high-frequency sampling
• State-of-the-art in Bayesian changepoint detection
• Quickest detection of a state-dependent change-point in discrete time
• Sign CUSUM algorithm for change-point detection of the MMPP controlling chain state
• Quickest change point detection with multiple postchange models

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