Asymptotically d-optimal Test of A Posteriori Change-Point Detection

DOI10.1137/S0040585X97981111MaRDI QIDQ5700640zbMATH OpenOpenAlexFDO

Authors Georgy Sofronov

Publication date 28 October 2005

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97981111

zbMATH Keywords

\(d\)--a posteriori approach\(d\)-optimalitychange-point detectionclose hypothesishypothesis discriminationweak convergenceWiener process functional

Mathematics Subject Classification ID

Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(5)

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• On the optimality of Bayesian change-point detection
• An optimal retrospective change point detection policy
• Asymptotically d-Optimal Test of a Change-Point Detection
• Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models

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