Asymptotically d-optimal test of a posteriori change-point detection

G. Yu Sofronov*

*Corresponding author for this work

Research output: Contribution to journalReview articlepeer-review

Abstract

We consider the problem of a posteriori change-point detection for a sequence of independent identically distributed random variables. We propose to use d-risks instead of error of the first type and error of the second type. We construct an asymptotically optimal test minimizing one d-risk and guaranteeing another.

Original languageEnglish
Pages (from-to)367-371
Number of pages5
JournalTheory of Probability and its Applications
Volume49
Issue number2
DOIs
Publication statusPublished - 2005
Externally publishedYes

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