Sequential Detection and Estimation of Change-Points
نویسنده
چکیده
In this report the problem of sequential detection and estimation of change-points is considered. The sense of this problem is as follows: in practice after raising an alarm signal about a change it is often required to divide the whole obtained sequential sample into subsamples of observations before and after an unknown change-point. In this report asymptotically optimal methods are proposed for sequential detection and estimation of a change-point in this problem. On the probability space (Ω,F , P ) let us consider the following model of observations: x(n) = a+ hI(n > m) + ξn, (1)
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