A note on sequential detection with exponential penalty for the delay

被引：15

作者：

Beibel, M ^{[1
]}

机构：

[1] Univ Freiburg, Inst Math Stochast, D-79104 Freiburg, Germany

来源：

ANNALS OF STATISTICS | 2000年 / 28卷 / 06期

关键词：

change-point; exponential delay-penalty; sequential detection; Wiener process;

D O I：

10.1214/aos/1015957476

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 continuous time analogue of the Bayes problem of Poor. As usual the results on the optimal solution are more explicit than in the discrete time set-up.

引用

页码：1696 / 1701

页数：6

共 7 条

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[2]

Beibel M, 1997, STAT SINICA, V7, P93

[3]

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[5]

Poor HV, 1998, ANN STAT, V26, P2179

[6]

SHIRYAEV A. N., 1963, Theory of Probability Its Applications, V8, P22, DOI [DOI 10.1137/1108002, 10.1137/1108002]

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SHIRYAEV, AN .

THEORY OF PROBILITY AND ITS APPLICATIONS,USSR, 1965, 10 (02) :348-&

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