The detection and estimation of the change point in a disccrete-time stochastic system

DOI10.1080/07362999908809626zbMath0939.62087OpenAlexW1966438300MaRDI QIDQ4261538

Zachary G. Stoumbos

Publication date: 10 May 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999908809626

zbMATH Keywords

likelihood ratiolarge deviationsquality controlsequential detectionmeasure transformationBayes detectormaximum-a-posteriori estimator

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics in engineering and industry; control charts (62P30) Markov processes: estimation; hidden Markov models (62M05) Sequential statistical analysis (62L10) Sequential estimation (62L12)

Related Items (3)

Real-time assessment of value-at-risk and volatility accuracy ⋮ Scheduling of Data Transcription in Periodically Connected Databases ⋮ Estimating the locations of multiple change points in the mean

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