Monotonicity and robustness in Wiener disorder detection
We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness...
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| Published in | Sequential analysis Vol. 38; no. 1; pp. 57 - 68 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Philadelphia
Taylor & Francis
02.01.2019
Taylor & Francis Ltd |
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| Abstract | We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness properties - effects of misspecification of the underlying model - are explored. |
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| AbstractList | We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness properties - effects of misspecification of the underlying model - are explored. |
| Author | Vaicenavicius, Juozas Ekström, Erik |
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| Copyright | 2019 The Author(s). Published with license by Taylor & Francis Group, LLC 2019 2019 The Author(s). Published with license by Taylor & Francis Group, LLC |
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| Snippet | We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a... |
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| SubjectTerms | Brownian motion Change detection Changepoint detection Drift Optimal stopping Parameter robustness Robustness Robustness (mathematics) |
| Title | Monotonicity and robustness in Wiener disorder detection |
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