We consider, in a Bayesian framework, the model $W_t = B_t + \theta (t - \nu)^+$, where B is a standard Brownian motion, $\theta$ is arbitrary but known and $\nu$ is the unknown change-point. We transfer the
construction of Ritov to this continuous time setup and show that the corresponding Bayes problems can be reduced to generalized parking problems.
Publié le : 1996-08-14
Classification:
Change-point,
cusum procedures,
sequential detection,
Wiener process,
generalized parking problems,
62L10,
62L15,
62C10
@article{1032298296,
author = {Beibel, M.},
title = {A note on Ritov's Bayes approach to the minimax property of the cusum procedure},
journal = {Ann. Statist.},
volume = {24},
number = {6},
year = {1996},
pages = { 1804-1812},
language = {en},
url = {http://dml.mathdoc.fr/item/1032298296}
}
Beibel, M. A note on Ritov's Bayes approach to the minimax property of the cusum procedure. Ann. Statist., Tome 24 (1996) no. 6, pp. 1804-1812. http://gdmltest.u-ga.fr/item/1032298296/