Quickest detection of an accumulated state-dependent change point. Issue 2 (2nd April 2020)

• Record Type: Journal Article
• Authors: Cai, Liang
• Is Part Of: Sequential analysis. Volume 39:Issue 2(2020)
• Page Start: 230
• Page End: 240
• Publication Date: 2020-04-02
• Subjects: Accumulated state-dependent abruption -- Bayesian sequential analysis -- optimal stopping rules -- quickest detection in continuous time; 62L10 -- 62L15; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2020.1766928
• Languages: English
• ISSNs: 0747-4946

Abstract

Abstract: Motivated by the practical investigation of a state-dependent quickest detection problem in continuous time, especially for Brownian observations, we propose an asymptotic scheme in discrete time called a quickest detection scheme of an accumulated state-dependent change point. Here the state-dependent means that the priori probability of the change point depends on the current state. We reduce the problem to finding an optimal stopping time of a vector-valued Markov process. We illustrate the scheme via a numerical example.