Unspecified distribution in single disorder problem

Details Unspecified distribution in single disorder problem Unspecified distribution in single disorder problem

2009-03-30

arxiv.org/abs/0903.5341v2

Mathematics

Probability

23 pages

Scientific paper

We register a stochastic sequence affected by one disorder. Monitoring of the
sequence is made in the circumstances when not full information about
distributions before and after the change is available. The initial problem of
disorder detection is transformed to optimal stopping of observed sequence.
Formula for optimal decision functions is derived.

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