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Title: Asymptotically d-optimal test of a change-point detection
Related: Theory of probability and its applications, Vol. 46, No. 3, (2002), p.547-548
DOI: 10.1137/S0040585X97979160
Publisher: Society for Industrial and Applied Mathematics
Date: 2002
Author/Creator: Sofronov, G. Yu
Description: The paper considers the problem of a change-point detection for a sequence of random variables. We construct a d-optimal test guaranteeing the d-risk. The asymptotics of this test is obtained. Translated by M. V. Khatuntseva from Russian journal.
Description: 2 page(s)
Subject Keyword: Change-point detection
Subject Keyword: d-a posteriori approach
Subject Keyword: d-optimality
Subject Keyword: d-warranty
Subject Keyword: Functionals of the Wiener process
Subject Keyword: Weak convergence
Resource Type: journal article
Organisation: Macquarie University. Dept. of Statistics

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