Asymptotic Operating Characteristics of an Optimal Change Point Detection in Hidden Markov Models
Let ξ0,ξ1,...,ξω-1be observations from the hidden Markov model with probability distribution Pθ0 , and let ξω, ξω + 1,... be observations from the hidden Markov model with probability distribution Pθ1 . The parameters θ0and θ1are given, while the change point ω is unknown...
| Veröffentlicht in: | The Annals of Statistics. - Institute of Mathematical Statistics. - 32(2004), 5, Seite 2305-2339 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2004
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| Zugriff auf das übergeordnete Werk: | The Annals of Statistics |
| Schlagworte: | Asymptotic Optimality Change Point Detection First Passage Time Limit of Bayes Rules Products of Random Matrices Nonlinear Markov Renewal Theory Shiryayev-Roberts-Pollak Procedure Mathematics Applied sciences Behavioral sciences |
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