On-line detection of a part of a sequence with unspecified distribution
We register a Markov process. At two random moments [theta]1, [theta]2, where [theta]1<[theta]2, the distribution of the observed sequence changes. It is known before [theta]1 and after [theta]2, but between these instants is unknown, chosen randomly from a set of distributions. The optimal stopping rule which stops observation of the sequence between disorders [theta]1 and [theta]2 is identified.
Year of publication: |
2008
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Authors: | Sarnowski, Wojciech ; Szajowski, Krzysztof |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 15, p. 2511-2516
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Publisher: |
Elsevier |
Saved in:
Online Resource
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