Quickest detection of a state-dependent change-point in discrete time

被引：2

作者：

Cai, Liang ^{[1
]}

Pan, Li-Yun ^{[2
]}

Zhang, Huan-Huan ^{[1
]}

Gao, Ming-Zhong ^{[1
]}

Wang, Zhi-Nan ^{[1
]}

机构：

[1] Beijing Inst Technol, Sch Math & Stat, Beijing 100081, Peoples R China

[2] Beijing Inst Educ, Fac Primary Educ, Beijing, Peoples R China

来源：

SEQUENTIAL ANALYSIS-DESIGN METHODS AND APPLICATIONS | 2017年 / 36卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Bayesian sequential analysis; optimal stopping rules; quickest detection; state-dependent abruption;

D O I：

10.1080/07474946.2017.1394723

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the quickest detection of a change point in a sequence of observations whose prior probability depends on the observed states. By the Bayesian scheme we get the optimal stopping, rules under the hybrid probability space.

引用

页码：553 / 562

页数：10

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