Monotonicity and robustness in Wiener disorder detection. Issue 1 (2nd January 2019)

• Record Type: Journal Article
• Authors: Ekström, Erik; Vaicenavicius, Juozas
• Is Part Of: Sequential analysis. Volume 38:Issue 1(2019)
• Page Start: 57
• Page End: 68
• Publication Date: 2019-01-02
• Subjects: Changepoint detection -- Optimal stopping -- Robustness; 60G35 -- 60G40 -- 62L10 -- 62F15; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2018.1554885
• Languages: English
• ISSNs: 0747-4946

Abstract

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.