Monotonicity and robustness in Wiener disorder detection

DOI10.1080/07474946.2018.1554885zbMath1432.60047arXiv1710.10821OpenAlexW2963776852WikidataQ127893092 ScholiaQ127893092MaRDI QIDQ5379332

Juozas Vaicenavicius, Erik Ekström

Publication date: 28 May 2019

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

Full work available at URL: https://arxiv.org/abs/1710.10821

zbMATH Keywords

robustnessoptimal stoppingchangepoint detection

Mathematics Subject Classification ID

Bayesian inference (62F15) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)

Related Items

Multi-dimensional sequential testing and detection ⋮ Model misspecification in discrete time Bayesian online change detection

Cites Work

• Two-sided disorder problem for a Brownian motion in a Bayesian setting
• Adaptive Poisson disorder problem
• Fundamentals of stochastic filtering
• Sequential change-point detection in continuous time when the post-change drift is unknown
• The standard Poisson disorder problem revisited
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