Exactly optimal Bayesian quickest change detection for hidden Markov models

DOI10.1016/j.automatica.2023.111232arXiv2009.00150MaRDI QIDQ6073031

Timothy L. Molloy, Jasmin James, Jason J. Ford

Publication date: 15 September 2023

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.00150

zbMATH Keywords

Markov modelsdetection algorithmsBayesian quickest change detectionShiryaev test

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Partially Observed Markov Decision Processes
• Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models
• Sequential Detection and Identification of a Change in the Distribution of a Markov-Modulated Random Sequence
• A Bayesian Theory of Change Detection in Statistically Periodic Random Processes
• Data-Efficient Quickest Change Detection with On–Off Observation Control
• Optimal Stopping Rules
• General Asymptotic Bayesian Theory of Quickest Change Detection
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