Asymptotic operating characteristics of an optimal change point detection in hidden Markov models

Annals of Statistics

Volumn 32, Issue 5, 2004, Pages 2305-2339

  Fuh, Cheng Der ^a,b  

^a ACADEMIA SINICA   (Taiwan)

^b INSTITUTE OF STATISTICAL SCIENCE   (Taiwan)

Author keywords

Asymptotic optimality; Change point detection; First passage time; Limit of Bayes rules; Nonlinear Markov renewal theory; Products of random matrices; Shiryayev Roberts Pollak procedure

Indexed keywords

EID: 24344490792     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053604000000580     Document Type: Article

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