Abstract
We describe asymptotically optimal Bayesian and frequentist solutions to the problem of sequential change-point detection in multiparameter exponential families when the pre- and post-change parameters are unknown. In this connection we also address certain issues recently raised by Mei (Citation2008) concerning performance criteria for detection rules in this setting.
ACKNOWLEDGMENTS
Lai's research is supported by the National Science Foundation under grant DMS-0805879. Xing's research is supported by the National Science Foundation under grant DMS-0906593.
Notes
Recommended by A. G. Tartakovsky