Abstract
The paper considers the problem of a change-point detection for a sequence of random variables. We construct a d-optimal test guaranteeing the d-risk. The asymptotics of this test is obtained.
| Original language | English |
|---|---|
| Article number | PII S0040585X97979160 |
| Pages (from-to) | 547-548 |
| Number of pages | 2 |
| Journal | Theory of Probability and its Applications |
| Volume | 46 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2002 |
Keywords
- change-point detection
- d-a posteriori approach
- d-warranty
- d-optimality
- weak convergence
- functionals of the Wiener process