High moments of two optimal rules of detecting a change in distributions

DOI10.1007/BF02559988MaRDI QIDQ5288865zbMATH OpenFDO

Authors Jian Zhang

Publication date 25 October 1993

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

zbMATH Keywords

stopping ruleasymptotically optimal rules of detecting a change in distributions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Recommendations

• Comparison of some sequential rules for detecting changes in distributions
• Optimal detection of a change in distribution
• Minimax optimality of the Shiryayev-Roberts change-point detection rule
• A note on optimal detection of a change in distribution

Cites work

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3789618 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• An approach to the probability distribution of cusum run length
• On the Markov Chain Approach to the Two-Sided CUSUM Procedure
• Sampling inspection of continuous processes with no autocorrelation between successive results
• The Distribution of the Run Length of One-Sided CUSUM Procedures for Continuous Random Variables
• The probability distribution and the expected value of a stopping variable associated with one-sided cusum procedures for non-negative integer valued random variables

Cited in

(1)

• A double recursion for calculating moments of the truncated normal distribution and its connection to change detection

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