Sarnowski, Wojciech; Szajowski, Krzysztof - In: Statistics & Probability Letters 78 (2008) 15, pp. 2511-2516
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...