Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty

DOI10.1080/07474946.2022.2043052zbMath1493.62483OpenAlexW4280537627MaRDI QIDQ5085249

Valérie Girardin, Serguei Pergamenchtchikov, Victor Konev

Publication date: 27 June 2022

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

Full work available at URL: https://doi.org/10.1080/07474946.2022.2043052

zbMATH Keywords

Kullback-Leibler divergenceautoregressive processessequential detectionchange point detectionCUSUM rulerobust riskgeneral dependent observation modelsunknown postchange distribution

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Statistical aspects of information-theoretic topics (62B10) Optimal stopping in statistics (62L15)

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