Optimal detection of homogeneous segment of observations in stochastic sequence

Wojciech Sarnowski, Krzysztof Szajowski
Arxiv ID: 0812.3632Last updated: 11/23/2020
A Markov process is registered. At random moment θ 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.

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