Minimax and pointwise sequential changepoint detection and identification for general stochastic models

DOI10.1016/j.jmva.2022.104977OpenAlexW3191348322MaRDI QIDQ2140860

Serguei Pergamenchtchikov, Valentin S. Spivak, Alexander G. Tartakovsky

Publication date: 23 May 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.05086

zbMATH Keywords

asymptotic optimalitychangepoint detectioncomposite post-change hypothesesdetection and localization of epidemicsquickest change detection-identification

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Multivariate analysis (62Hxx)

Related Items (2)

Quickest change detection in statistically periodic processes with unknown post-change distribution ⋮ Truncated sequential change-point detection for Markov chains with applications in the epidemic statistical analysis

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