Unspecified distribution in single disorder problem

Wojciech Sarnowski, Krzysztof Szajowski
Arxiv ID: 0903.5341Last updated: 11/17/2020
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.

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