On-line detection of a part of a sequence with unspecified distribution

DOI10.1016/J.SPL.2008.02.040zbMath1165.62055arXiv0903.5341OpenAlexW2079165477MaRDI QIDQ951210

Wojciech Sarnowski, Krzysztof J. Szajowski

Publication date: 30 October 2008

Published in: Applied Stochastic Models in Business and Industry, Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.5341

zbMATH Keywords

optimal stoppingMarkov processsequential detectionchange point detectionstatistical quality controldisorder problemShiryaev procedure

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Economic growth models (91B62) 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) Optimal stopping in statistics (62L15)

Related Items (1)

On optimal stopping of risk processes with regime switching

Cites Work

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• On a generalized disorder problem
• Optimal on-line detection of outside observations
• A two-disorder detection problem
• Probability maximizing approach to optimal stopping and its application to a disorder problem
• Quickest detection of abrupt changes for a class of random processes
• Probability Maximizing Approach for Quickest Detection Problem with Complicated Markov Chain

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