韩东, 宗福季. 有限相依随机序列的非贝叶斯变点最优监测[J]. 应用概率统计, 2024, 40(2): 277-286. DOI: 10.3969/j.issn.1001-4268.2024.02.004
引用本文: 韩东, 宗福季. 有限相依随机序列的非贝叶斯变点最优监测[J]. 应用概率统计, 2024, 40(2): 277-286. DOI: 10.3969/j.issn.1001-4268.2024.02.004
HAN Dong, TSUNG Fugee. The Optimality in Non-Bayesian Change-Point Detection for Finite Observation Sequence[J]. Chinese Journal of Applied Probability and Statistics, 2024, 40(2): 277-286. DOI: 10.3969/j.issn.1001-4268.2024.02.004
Citation: HAN Dong, TSUNG Fugee. The Optimality in Non-Bayesian Change-Point Detection for Finite Observation Sequence[J]. Chinese Journal of Applied Probability and Statistics, 2024, 40(2): 277-286. DOI: 10.3969/j.issn.1001-4268.2024.02.004

有限相依随机序列的非贝叶斯变点最优监测

The Optimality in Non-Bayesian Change-Point Detection for Finite Observation Sequence

  • 摘要: 本文研究了有限相依样本序列的非贝叶斯变点检测问题.通过引入非负动态随机控制线, 我们不仅构造并证明了两个最优控制图, 而且还得到了比原定义更容易计算的Lorden测度和Pollak测度的最小值的表达式.

     

    Abstract: This paper studies the non-Bayesian change-point detection of finite dependent samples sequence. By presenting the nonnegative dynamic random control limits, we not only constructed and proved two optimal control charts, but also obtained the expressions for the minimum values of Lorden's measure and Pollak's measure that are easier to calculate than the original definition.

     

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