Monotonicity and robustness in Wiener disorder detection
Statistics Theory
2019-01-17 v2 Statistics Theory
Abstract
We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness properties -- effects of misspecification of the underlying model -- are explored.
Keywords
Cite
@article{arxiv.1710.10821,
title = {Monotonicity and robustness in Wiener disorder detection},
author = {Erik Ekström and Juozas Vaicenavicius},
journal= {arXiv preprint arXiv:1710.10821},
year = {2019}
}
Comments
14 pages, improvements in presentation