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 language | English |
|---|---|
| Pages (from-to) | 367-371 |
| Number of pages | 5 |
| Journal | Theory of Probability and its Applications |
| Volume | 49 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2005 |
| Externally published | Yes |