Optimal detection of homogeneous segment of observations in stochastic sequence

Details Optimal detection of homogeneous segment of observations in stochastic sequence Optimal detection of homogeneous segment of observations in stochastic sequence

2008-12-18

arxiv.org/abs/0812.3632v3

Stochastics An International Journal of Probability and Stochastic Processes, Vol. 83, Issue 4-6, 2011, pp. 569-581

Mathematics

Probability

13 pages

Scientific paper

10.1080/17442508.2010.540015

A Markov process is registered. At random moment $\theta$ the distribution of
observed sequence changes. Using probability maximizing approach the optimal
stopping rule for detecting the change is identified. Some explicit solution is
obtained.

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