Asymptotically d-optimal test of a posteriori change-point detection | Macquarie University ResearchOnline

Home

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/141153

9 Visitors

11 Hits

0 Downloads

Title: Asymptotically d-optimal test of a posteriori change-point detection
Related: Theory of probability and its applications, Vol. 49, No. 2, (2005), p.367-371
DOI: 10.1137/S0040585X97981111
Publisher: Society for Industrial and Applied Mathematics
Date: 2005
Author/Creator: Sofronov, G. Yu
Description: We consider the problem of a posteriori change-point detection for a sequence of independent identically distributed random variables. We propose to use d-risks instead of error of the first type and error of the second type. We construct an asymptotically optimal test minimizing one d-risk and guaranteeing another. Translated by M. V. Khatuntseva from Russian journal.
Description: 5 page(s)
Subject Keyword: Change-point detection
Subject Keyword: Close hypothesis
Subject Keyword: d-a posteriori approach
Subject Keyword: d-optimality
Subject Keyword: Hypothesis discrimination
Subject Keyword: Weak convergence
Subject Keyword: Wiener process functional
Resource Type: journal article
Organisation: Macquarie University. Dept. of Statistics

Macquarie University ResearchOnline