Diffusion approximation for a pseudo-likelihood test process with application to detection of change in a stochastic system

DOI10.1080/17442509008833651MaRDI QIDQ5203531zbMATH OpenOpenAlexFDO

Authors Lucia Ladelli

Publication date 1990

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509008833651

zbMATH Keywords

adaptive algorithmchange detectiondiffusion approximationinvariance principlelikelihood ratiomodel validationpseudo-likelihood test process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Markov processes: hypothesis testing (62M02) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes (62M99) Stochastic systems and control (93E99)

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