Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty

DOI10.1080/07474946.2022.2043052MaRDI QIDQ5085249zbMATH OpenOpenAlexFDO

Authors Valérie Girardin, Victor Konev, Serguei Pergamenchtchikov

Publication date 27 June 2022

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2022.2043052

zbMATH Keywords

change point detectionKullback-Leibler divergencesequential detectionautoregressive processesCUSUM rulerobust riskgeneral dependent observation modelsunknown postchange distribution

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Statistical aspects of information-theoretic topics (62B10) Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cited in

(5)

• Misspecified and Asymptotically Minimax Robust Quickest Change Diagnosis
• Asymptotic optimality theory for active quickest detection with unknown postchange parameters
• Information bounds and quick detection of parameter changes in stochastic systems
• Quickest detection in the Wiener disorder problem with post-change uncertainty
• On the informativeness of measurements in Shiryaev's Bayesian quickest change detection

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