On the informativeness of measurements in Shiryaev's Bayesian quickest change detection

DOI10.1016/J.AUTOMATICA.2019.108645zbMath1432.62053arXiv1903.03283OpenAlexW2980694988WikidataQ126980976 ScholiaQ126980976MaRDI QIDQ2288633

Jason J. Ford, Jasmin James, Timothy L. Molloy

Publication date: 20 January 2020

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.03283

zbMATH Keywords

Markov modelsmaximal inequalitydetection algorithmssuper-martingaleBayesian quickest change detection

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation and detection in stochastic control theory (93E10) Sequential statistical analysis (62L10)

Cites Work

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• Partially Observed Markov Decision Processes
• Asymptotic Optimality in Bayesian Changepoint Detection Problems under Global False Alarm Probability Constraint
• A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line
• Misspecified and Asymptotically Minimax Robust Quickest Change Detection
• Information bounds and quick detection of parameter changes in stochastic systems
• On Optimum Methods in Quickest Detection Problems
• Procedures for Reacting to a Change in Distribution

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