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
optimal stoppingMarkov processsequential detectionchange point detectionstatistical quality controldisorder problemShiryaev procedure
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)
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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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