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Teoriya Veroyatnostei i ee Primeneniya, 2004, Volume 49, Issue 2, Pages 396–399
DOI: https://doi.org/10.4213/tvp229 (Mi tvp229) 		 
Short Communications

Asymptotically $d$-optimal test of a posteriori change-point detection

G. Yu. Sofronov

Mari State University
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DOI: https://doi.org/10.4213/tvp229
Abstract: We consider the problem of a posteriori change-point detection for a sequence of independent identically distributed random variables. We propose to use $d$-risks instead of error of the first type and error of the second type. We construct an asymptotically optimal test minimizing one $d$-risk and guaranteeing another.
Keywords: change-point detection, hypothesis discrimination, close hypothesis, $d$-a posteriori approach, $d$-optimality, weak convergence, Wiener process functional.
Received: 22.03.2004
English version:
Theory of Probability and its Applications, 2005, Volume 49, Issue 2, Pages 367–371
DOI: https://doi.org/10.1137/S0040585X97981111
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: G. Yu. Sofronov, “Asymptotically $d$-optimal test of a posteriori change-point detection”, Teor. Veroyatnost. i Primenen., 49:2 (2004), 396–399; Theory Probab. Appl., 49:2 (2005), 367–371
Citation in format AMSBIB
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\paper Asymptotically $d$-optimal
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\transl
\jour Theory Probab. Appl.
\yr 2005
\vol 49
\issue 2
\pages 367--371
\crossref{https://doi.org/10.1137/S0040585X97981111}
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  • https://doi.org/10.4213/tvp229
  • https://www.mathnet.ru/eng/tvp/v49/i2/p396
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
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