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Sequential Analysis
Design Methods and Applications
Volume 27, 2008 - Issue 2
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Original Articles

Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems

Boris Brodsky Department of Statistics and Econometrics, Central Institute for Mathematics and Economics, Moscow, RussiaCorrespondence[email protected]
&
Boris Darkhovsky Department of Macrosystems Dynamics, Institute for Systems Analysis RAS, Moscow, Russia
Pages 141-173 | Received 27 Sep 2007, Accepted 03 Feb 2008, Published online: 19 May 2008

Citations (18)

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Read on this site (4)

Michael Roberts & Indranil SenGupta. (2020) Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection. Applied Mathematical Finance 27:5, pages 374-395.
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Boris Darkhovsky & Alexandra Piryatinska. (2014) Quickest Detection of Changes in the Generating Mechanism of a Time Series via the ε-Complexity of Continuous Functions. Sequential Analysis 33:2, pages 231-250.
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Boris Darkhovsky. (2011) Change-Point Problem for High-Order Markov Chain. Sequential Analysis 30:1, pages 41-51.
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Boris Brodsky & Boris Darkhovsky. (2008) Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei. Sequential Analysis 27:4, pages 377-380.
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Articles from other publishers (14)

Timothy L. Molloy. (2021) Misspecified and Asymptotically Minimax Robust Quickest Change Diagnosis. IEEE Transactions on Automatic Control 66:2, pages 857-864.
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Michael Fauß, Abdelhak M. Zoubir & H. Vincent Poor. (2020) Minimax optimal sequential hypothesis tests for Markov processes. The Annals of Statistics 48:5.
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Michael Roberts & Indranil SenGupta. (2019) Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. Annals of Finance 16:1, pages 121-139.
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Aurélie Fischer & Dominique Picard. (2020) On change-point estimation under Sobolev sparsity. Electronic Journal of Statistics 14:1.
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Stefano Peluso, Siddhartha Chib & Antonietta Mira. (2019) Semiparametric Multivariate and Multiple Change-Point Modeling. Bayesian Analysis 14:3.
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Farida Enikeeva & Zaid Harchaoui. (2019) High-dimensional change-point detection under sparse alternatives. The Annals of Statistics 47:4.
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Piotr Fryzlewicz. (2018) Tail-greedy bottom-up data decompositions and fast multiple change-point detection. The Annals of Statistics 46:6B.
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Abdelhak M. Zoubir, Visa Koivunen, Esa Ollila & Michael Muma. 2018. Robust Statistics for Signal Processing. Robust Statistics for Signal Processing.
B. S. Darkhovsky. (2014) Change-Point Detection in Random Sequence under Minimal Prior Information. Theory of Probability & Its Applications 58:3, pages 488-493.
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Michael Carlisle & Olympia Hadjiliadis. (2013) Sequential decision making in two-dimensional hypothesis testing. Sequential decision making in two-dimensional hypothesis testing.
Борис Семенович Дарховский & Boris Semenovich Darhovsky. (2013) Обнаружение разладки случайной последовательности при минимальной априорной информацииChange-point detection in random sequence under minimal prior information. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 58:3, pages 585-590.
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B. S. Darkhovsky. (2012) Uncertain Change-Point Problem for Stochastic Sequence. Theory of Probability & Its Applications 56:1, pages 44-56.
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Борис Семенович Дарховский & Boris Semenovich Darhovsky. (2011) Задача о неопределенной разладке случайной последовательностиUncertain change-point problem for random sequence. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 56:1, pages 30-46.
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Danilo Mercurio & Vladimir Spokoiny. (2004) Statistical inference for time-inhomogeneous volatility models. The Annals of Statistics 32:2.
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