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Sequential Analysis
Design Methods and Applications
Volume 30, 2011 - Issue 1
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Original Articles

Change-Point Problem for High-Order Markov Chain

Boris Darkhovsky Department of Macrosystems Dynamics, Institute for Systems Analysis RAS, Moscow, RussiaCorrespondence[email protected]
Pages 41-51 | Received 14 Jul 2009, Accepted 29 Jul 2010, Published online: 19 Jan 2011
 
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Abstract

The change-point problem for high-order Markov chain under composite hypotheses before and after the change is considered. New optimality criterion is proposed and the non-asymptotic lower bound for the criterion is given. Asymptotically optimal detection method is found.

2000 Mathematics Subject Classification:

Notes

Recommended by Nitis Mukhopadhayay

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