Sequential Change-Point Detection in State-Space Models

DOI10.1080/07474946.2012.665676MaRDI QIDQ2888569zbMATH OpenOpenAlexFDO

Authors Boris Brodsky

Publication date 1 June 2012

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2012.665676

zbMATH Keywords

performance measureMonte Carlo tests

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Monte Carlo methods (65C05) Sequential statistical analysis (62L10) Statistical decision theory (62C99)

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Cites work

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• On the Performance of the Fluctuation Test for Structural Change
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• Sequential change-point detection for mixing random sequences under composite hypotheses
• Sequential change-point detection when unknown parameters are present in the pre-change distribution
• Sequential multiple hypothesis testing and efficient fault detection-isolation in stochastic systems

Cited in

(11)

• On-line change-point detection (for state space models) using multi-process Kalman filters
• Sequential change detection and hypothesis testing. General non-i.i.d. stochastic models and asymptotically optimal rules
• Sequential change-point detection in continuous time when the post-change drift is unknown
• Sequential methods for multistate processes
• Sequential detection of switches in models with changing structures
• Sequential Detection of Change-Points in Linear Models
• scientific article; zbMATH DE number 795279 (Why is no real title available?)
• scientific article; zbMATH DE number 6303356 (Why is no real title available?)
• Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models
• Analysis, detection and correction of misspecified discrete time state space models
• Optimality of CUSUM Rule Approximations in Change-Point Detection Problems: Application to Nonlinear State–Space Systems

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