Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
From MaRDI portal
Publication:1766136
DOI10.1214/009053604000000580zbMath1073.60047arXivmath/0503682OpenAlexW3105579973MaRDI QIDQ1766136
Publication date: 28 February 2005
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0503682
Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (18)
Sequential Change-Point Detection in State-Space Models ⋮ State-of-the-art in sequential change-point detection ⋮ A series expansion formula of the scale matrix with applications in CUSUM analysis ⋮ Sequential algorithms for moving anomaly detection in networks ⋮ Efficient likelihood estimation in state space models ⋮ Is Average Run Length to False Alarm Always an Informative Criterion? ⋮ Credit Risk Propagation in Structural-Form Models ⋮ From Disorder Detection to Optimal Stopping and Mathematical Finance ⋮ Input-output properties of the Page-Hinkley detector ⋮ Detection of intrusions in information systems by sequential change-point methods ⋮ Streaming changepoint detection for transition matrices ⋮ Online change detection of Markov chains with unknown post-change transition probabilities ⋮ Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén ⋮ Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models ⋮ Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei ⋮ Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei ⋮ Change-Point Detection in Binomial Thinning Processes, with Applications in Epidemiology ⋮ Learning hidden Markov models with unknown number of states
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markov chains and stochastic stability
- Decision theoretic optimality of the cusum procedure
- Sequential analysis. Tests and confidence intervals
- Optimal detection of a change in distribution
- On non-singular renewal kernels with an application to a semigroup of transition kernels
- Optimal stopping times for detecting changes in distributions
- Average run lengths of an optimal method of detecting a change in distribution
- A nonlinear renewal theory
- Nonlinear Markov renewal theory with statistical applications
- Random difference equations and renewal theory for products of random matrices
- Renewal theory for functionals of a Markov chain with general state space
- Approximations to the expected sample size of certain sequential tests
- A renewal theorem for curved boundaries and moments of first passage times
- Second order approximations for sequential point and interval estimation
- A nonlinear renewal theory with applications to sequential analysis. I
- A nonlinear renewal theory with applications to sequential analysis II
- On the Markov renewal theorem
- A note on optimal detection of a change in distribution
- SPRT and CUSUM in hidden Markov models
- On the Harris recurrence of iterated random Lipschitz functions and related convergence rate results
- Poisson equation, moment inequalities and quick convergence for Markov random walks.
- Uniform Markov renewal theory and ruin probabilities in Markov random walks.
- Asymptotic expansions in multidimensional Markov renewal theory and first passage times for Markov random walks
- An algorithm for detecting a change in a stochastic process
- Asymptotic expansions for sums of weakly dependent random vectors
- Wald's equations, first passage times and moments of ladder variables in Markov random walks
- Information bounds and quick detection of parameter changes in stochastic systems
- Asymptotic Expansions in the Central Limit Theorem for Recurrent Markov Renewal Processes
- On Optimum Methods in Quickest Detection Problems
- Procedures for Reacting to a Change in Distribution
- Statistical methods for DNA sequence segmentation
This page was built for publication: Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
