Detection of a “Disorder” in a Wiener Process

DOI10.1137/1126034zbMath0481.62068OpenAlexW1979100073MaRDI QIDQ3939073

Lioudmila Vostrikova

Publication date: 1982

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1126034

zbMATH Keywords

maximum likelihood estimateschange point problem

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Markov processes: hypothesis testing (62M02)

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