Sequential monitoring of a Bernoulli sequence when the pre-change parameter 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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In the sequential change-point detection literature, most research specifies a required frequency of false alarms at a given pre-change distribution fθ and tries to minimize the detection delay for every possible post-change distribution gλ. In this paper, motivated by a number of practical examples, we first consider the reverse question by specifying a required detection delay at a given post...
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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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15 صفحه اولSEQUENTIAL CHANGE-POINT DETECTION WHEN UNKNOWN PARAMETERS ARE PRESENT IN THE PRE-CHANGE DISTRIBUTION1 BY YAJUN MEI California Institute of Technology and Fred Hutchinson Cancer Research Center
In the sequential change-point detection literature, most research specifies a required frequency of false alarms at a given pre-change distribution fθ and tries to minimize the detection delay for every possible post-change distribution gλ. In this paper, motivated by a number of practical examples, we first consider the reverse question by specifying a required detection delay at a given post...
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ژورنال
عنوان ژورنال: Computational Statistics
سال: 2012
ISSN: 0943-4062,1613-9658
DOI: 10.1007/s00180-012-0311-7