Unspecified distribution in single disorder problem
Probability
2020-11-17 v2 Information Theory
math.IT
Statistics Theory
Statistics Theory
Abstract
We register a stochastic sequence affected by one disorder. Monitoring of the sequence is made in the circumstances when not full information about distributions before and after the change is available. The initial problem of disorder detection is transformed to optimal stopping of observed sequence. Formula for optimal decision functions is derived.
Cite
@article{arxiv.0903.5341,
title = {Unspecified distribution in single disorder problem},
author = {Wojciech Sarnowski and Krzysztof Szajowski},
journal= {arXiv preprint arXiv:0903.5341},
year = {2020}
}
Comments
23 pages