Monitoring a sequence of Bernoulli random variables subject to gradual changes in the success rates where the success rates are unknown

• Published in: Sequential analysis Vol. 43; no. 2; pp. 233 - 247
• Main Author: Brown, Marlo
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 02.04.2024; Taylor & Francis Ltd
• Subjects: Bayesian stopping rules; Bernoulli Hypothesis; change point detection; dynamic programming; False alarms; gradual changes; Random variables

We look at a sequence of Bernoulli random variables where the success rates change from θ 1 to θ 2 . We will assume that both the success rates before and after the change are unknown but increasing. We assume that this change does not happen abruptly but gradually over a period of time η where η is...