The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes

DOI10.1080/07474940802619451MaRDI QIDQ3618558zbMATH OpenOpenAlexFDO

Authors Dong Han, Fugee Tsung

Publication date 2 April 2009

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474940802619451

zbMATH Keywords

change-point detectionMarkov processoptimal stopping time

Mathematics Subject Classification ID

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

Cites work

• An algorithm for detecting a change in a stochastic process
• Decision theoretic optimality of the cusum procedure
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Information bounds and quick detection of parameter changes in stochastic systems
• Markov chains and stochastic stability
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• Procedures for Reacting to a Change in Distribution

Cited in

(7)

• Change-point detection in binomial thinning processes, with applications in epidemiology
• Characterizations of optimal policies in a general stopping problem and stability estimating
• A Note on “The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes” by Han and Tsung
• Change-point problem for high-order Markov chain
• Malware family discovery using reversible jump MCMC sampling of regimes
• Author's Response
• Minimax optimality of CUSUM for an autoregressive model

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