arXiv2005
Let ξ_0,ξ_1,...,ξ_{ω-1} be observations from the hidden Markov model with probability distribution P^{θ_0}, and let ξ_ω,ξ_{ω+1},... be observations from the hidden Markov model with probability distribution P^{θ_1}. The parameters θ_0 and θ_1 are given, while the change point ωis unknown. The problem is to raise an alarm as soon as possible after the distribution changes from P^{θ_0} to P^{θ_1}, but to avoid false alarms. Specifically, we seek a stopping rule N which allows us to observe the ξ's sequentially, such that E_{\infty}N is large, and subject to this constraint, sup_kE_k(N-k|N\geq k) is as small as possible. Here E_k denotes expectation under the change point k, and E_{\infty} denotes expectation under the hypothesis of no change whatever. In this paper we investigate the performance of the Shiryayev-Roberts-Pollak (SRP) rule for change point detection in the dynamic system of hidden Markov models. By making use of Markov chain representation for the likelihood function, the structure of asymptotically minimax policy and of the Bayes rule, and sequential hypothesis testing theory for Markov random walks, we show that the SRP procedure is asymptotically minimax in the sense of Pollak [Ann. Statist. 13 (1985) 206-227]. Next, we present a second-order asymptotic approximation for the expected stopping time of such a stopping scheme when ω=1. Motivated by the sequential analysis in hidden Markov models, a nonlinear renewal theory for Markov random walks is also given.