Optimal detection of homogeneous segment of observations in stochastic sequence
Probability
2020-11-23 v3 Information Theory
math.IT
Statistics Theory
Statistics Theory
Abstract
A Markov process is registered. At random moment the distribution of observed sequence changes. Using probability maximizing approach the optimal stopping rule for detecting the change is identified. Some explicit solution is obtained.
Cite
@article{arxiv.0812.3632,
title = {Optimal detection of homogeneous segment of observations in stochastic sequence},
author = {Wojciech Sarnowski and Krzysztof Szajowski},
journal= {arXiv preprint arXiv:0812.3632},
year = {2020}
}
Comments
13 pages