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arXiv · 0812.3632

Optimal detection of homogeneous segment of observations in stochastic sequence

Wojciech Sarnowski·Krzysztof Szajowski
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Abstract

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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Wojciech Sarnowski, Krzysztof Szajowski. 2008-12-18. Optimal detection of homogeneous segment of observations in stochastic sequence. https://doi.org/10.1080/17442508.2010.540015

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