The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes

Abstract

In this paper we prove that Page's stopping time (CUSUM test) is optimal for detecting the changes in Markov processes that have invariant distribution.

Keywords:

• Change-point detection
• Markov process
• Optimal stopping time

Subject Classification:

• 62L10
• 62N10

ACKNOWLEDGMENTS

We would like to thank the Associate Editor and Referee for their valuable comments. This research was supported by RGC Competitive Earmarked Research Grants 620606 and 620707.

Notes

Recommended by M. Akahira