Asymptotically d-optimal Test of A Posteriori Change-Point Detection

DOI10.1137/S0040585X97981111zbMath1170.62355OpenAlexW2121544085MaRDI QIDQ5700640

Georgy Sofronov

Publication date: 28 October 2005

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

Full work available at URL: https://doi.org/10.1137/s0040585x97981111

zbMATH Keywords

weak convergencechange-point detection\(d\)--a posteriori approach\(d\)-optimalityclose hypothesishypothesis discriminationWiener process functional

Mathematics Subject Classification ID

Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07)

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