Minimax optimality of the Shiryayev-Roberts change-point detection rule
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Publication:928915
DOI10.1016/j.jspi.2008.03.016zbMath1367.62243OpenAlexW2073621531MaRDI QIDQ928915
Publication date: 11 June 2008
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2008.03.016
Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)
Related Items (5)
Heteroscedasticity and Autocorrelation Robust Structural Change Detection ⋮ Change-Points: From Sequential Detection to Biology and Back ⋮ Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund ⋮ Tail Approximations for Maxima of Random Fields by Likelihood Ratio Transformations ⋮ Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
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