Sequential Change-Point Detection in Continuous Time When the Post-Change Drift Is Unknown
نویسندگان
چکیده
منابع مشابه
Sequential Change-Point Detection When the Pre- and Post-Change Parameters are Unknown
We describe asymptotically optimal Bayesian and frequentist solutions to the problem of sequential change-point detection in multiparameter exponential families when the preand post-change parameters are unknown. In this connection we also address certain issues recently raised by Mei (2008) concerning performance criteria for detection rules in this setting.
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We describe asymptotically optimal Bayesian and frequentist solutions to the problem of sequential change-point detection in multiparameter exponential families when the pre-and post-change parameters are unknown. In this connection we also address certain issues recently raised by Mei (2008) concerning performance criteria for detection rules in this setting.
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ژورنال
عنوان ژورنال: Bernoulli
سال: 1997
ISSN: 1350-7265
DOI: 10.2307/3318460