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題 名 | Sequential Detection of Signals with Known Shape and Unknown Magnitude |
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作 者 | Beibel,M.; | 書刊名 | Statistica Sinica |
卷 期 | 10:3 2000.07[民89.07] |
頁 次 | 頁715-729 |
分類號 | 319 |
關鍵詞 | Bayes problem; Change-point; Sequential detection; Transition period; |
語 文 | 英文(English) |
英文摘要 | We study a problem of sequential detection in a continuous time change-point model with a transition period. Let W denote a Brownian motion process which has zero drift during the time interval [0,ν) and drift θh(t - ν) during the time interval [ν∞). Here h is a known deterministic function and θ and ν are unknown parameters. The goal is to find a stopping time T of W that stops as soon and as reliably as possible after the change-point ν. We consider stopping rules based on mixtures of likelihoods and show that they are approximately Bayes optimal. |
本系統中英文摘要資訊取自各篇刊載內容。