Sequential change-point detection for mixing random sequences under composite hypotheses

DOI10.1007/S11203-006-9004-6MaRDI QIDQ946284zbMATH OpenOpenAlexFDO

Authors Boris Brodsky, B. S. Darkhovskij

Publication date 22 September 2008

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-006-9004-6

zbMATH Keywords

change-point problemcomposite hypotheses

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Compound decision problems in statistical decision theory (62C25) Optimal stopping in statistics (62L15)

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Cites work

• scientific article; zbMATH DE number 1688529 (Why is no real title available?)
• scientific article; zbMATH DE number 3725517 (Why is no real title available?)
• scientific article; zbMATH DE number 795279 (Why is no real title available?)
• A Bayes Approach to a Quality Control Model
• A generalized change detection problem
• Asymptotically optimal methods of change-point detection for composite hypotheses
• CONTINUOUS INSPECTION SCHEMES
• Efficient recursive algorithms for detection of abrupt changes in signals and control systems
• Information bounds and quick detection of parameter changes in stochastic systems
• Invariance principles for mixing sequences of random variables
• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• Procedures for Reacting to a Change in Distribution
• Sequential analysis: Some classical problems and new challenges. (With comments and rejoinder).
• Sequential multiple hypothesis testing and efficient fault detection-isolation in stochastic systems
• Using the generalized likelihood ratio statistic for sequential detection of a change-point

Cited in

(9)

• Asymptotically optimal methods of change-point detection for composite hypotheses
• Asymptotically optimal methods of early change-point detection
• Sequential detection and estimation of change-points
• Optimal sequential tests for testing two composite and multiple simple hypotheses
• Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems
• Sequential Detection of Change-Points in Linear Models
• Change-point problem for high-order Markov chain
• Minimax optimal sequential hypothesis tests for Markov processes
• Sequential Change-Point Detection in State-Space Models

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