Sequential Detection and Identification of a Change in the Distribution of a Markov-Modulated Random Sequence

DOI10.1109/TIT.2009.2021382MaRDI QIDQ4975934zbMATH OpenFDO

Authors Savas Dayanik, Christian Goulding

Publication date 8 August 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TIT.2009.2021382

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Sequential statistical analysis (62L10) Detection theory in information and communication theory (94A13)

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(8)

• Detection and identification of changes of hidden Markov chains: asymptotic theory
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• Asymptotic optimized CUSUM and EWMA multi-charts for jointly detecting and diagnosing unknown change
• Weighting cusums for increased power near the end points
• scientific article; zbMATH DE number 3972035 (Why is no real title available?)
• Exactly optimal Bayesian quickest change detection for hidden Markov models
• A series expansion formula of the scale matrix with applications in CUSUM analysis
• Model misspecification in discrete time Bayesian online change detection

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