Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
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Publication:5485892
DOI10.1080/07474940600609597zbMATH Open1136.62054OpenAlexW1974242609MaRDI QIDQ5485892FDOQ5485892
Authors: Michael Baron, Alexander G. Tartakovsky 
Publication date: 4 September 2006
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474940600609597
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- Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
- Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
Bayesian inference (62F15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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Cited In (27)
- Bayesian outbreak detection algorithm for monitoring reported cases of campylobacteriosis in Germany
- On the Asymptotic Approach to the Change-Point Problem and Exponential Convergence Rate in the Ergodic Theorem for Markov Chains
- Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
- Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
- Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
- General Asymptotic Bayesian Theory of Quickest Change Detection
- Suboptimal properties of Page's CUSUM and Shiryaev-Roberts procedures in change-point problems with dependent observations
- Detection and identification of changes of hidden Markov chains: asymptotic theory
- Nearly Optimal Change-Point Detection with an Application to Cybersecurity
- Sequential sensor installation for Wiener disorder detection
- Precautionary measures for credit risk management in jump models
- Is Average Run Length to False Alarm Always an Informative Criterion?
- Asymptotic optimality in Bayesian change point detection problems under global false alarm probability constraint
- OPTIMAL CHANGE-POINT DETECTION IN TREND MODELS WITH INTEGRATED MOVING AVERAGE ERRORS
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- State-of-the-art in Bayesian changepoint detection
- Asymptotically optimal methods of early change-point detection
- From Disorder Detection to Optimal Stopping and Mathematical Finance
- Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models
- Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
- On the Wiener disorder problem
- Asymptotically optimal Bayesian sequential change detection and identification rules
- Multisource Bayesian sequential change detection
- On Asymptotic Optimality in Sequential Changepoint Detection: Non-iid Case
- Sequential detection of transient changes
- Comments on: ``A note on optimal detection of a change in distribution, by Benjamin Yakir
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