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- W2073621531 abstract "The result of Pollak [1985. Optimal detection of a change in distribution. Ann. Statist. 13, 206–227] proving the asymptotic optimality in sequential change-point detection of a suitable Shirayayev–Roberts stopping rule up to terms that vanish in the limit is generalized from the case of two completely specified distributions to that of a composite alternative hypothesis in a multidimensional exponential family. An explicit asymptotic lower bound on the expected Kullback–Leibler information required to detect a change-point is derived and is shown to be attained by a Shirayayev–Roberts stopping rule." @default.
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- W2073621531 date "2008-09-01" @default.
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- W2073621531 title "Minimax optimality of the Shiryayev–Roberts change-point detection rule" @default.
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- W2073621531 doi "https://doi.org/10.1016/j.jspi.2008.03.016" @default.
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