An algorithm for detecting a change in a stochastic process
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Publication:3729756
DOI10.1109/TIT.1986.1057160zbMath0596.60040OpenAlexW2126099188MaRDI QIDQ3729756
P. Papantoni-Kazakos, Rakesh K. Bansal
Publication date: 1986
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tit.1986.1057160
sequential testdetecting a change from one given stationary and ergodicdetecting a change from one given stationary and ergodic stochastic process to anotherstochastic process to another
Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35)
Related Items (9)
Robust sequential algorithms for the detection of changes in data generating processes ⋮ SPRT and CUSUM in hidden Markov models ⋮ Is Average Run Length to False Alarm Always an Informative Criterion? ⋮ Change detection for uncertain autoregressive dynamic models through nonparametric estimation ⋮ Sequential Detection of Transient Changes ⋮ Asymptotic operating characteristics of an optimal change point detection in hidden Markov models ⋮ The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes ⋮ Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models ⋮ Change-point problems: bibliography and review
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