Asymptotically optimal Bayesian sequential change detection and identification rules
نویسندگان
چکیده
منابع مشابه
Asymptotically optimal Bayesian sequential change detection and identification rules
We study the joint problem of sequential change detection and multiple hypothesis testing. Suppose that the common distribution of a sequence of i.i.d. random variables changes suddenly at some unobservable time to one of finitely many distinct alternatives, and one needs to both detect and identify the change at the earliest possible time. We propose computationally efficient sequential decisi...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2012
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-012-1121-6