Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion

DOI10.1080/07474946.2017.1360088zbMath1489.62251arXiv1610.02680OpenAlexW2531501946MaRDI QIDQ4596534

Taposh Banerjee, George V. Moustakides

Publication date: 1 December 2017

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.02680

zbMATH Keywords

Brownian motionminimax optimalityShiryaev-Roberts procedurequickest change detectiondrift change detection

Mathematics Subject Classification ID

Bayesian inference (62F15) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical design (62L05) Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05) Optimal stopping in statistics (62L15)

This page was built for publication: Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion