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A Posteriori Change-Point Problems

  • B. E. Brodsky
  • B. S. Darkhovsky
Part of the Mathematics and Its Applications book series (MAIA, volume 243)

Abstract

In this chapter, a posteriori change-point problems are considered. As was already mentioned in Chapter 2, the a posteriori change-point problem can be formulated in the following way: given a realisation of a random sequence X, the hypothesis of its stochastic homogeneity has to be proved. If this hypothesis is rejected, then estimates of change-points have to be obtained. Following the abovementioned general approach to disorder detection (see 2.4), almost everywhere in this chapter a posteriori change-point problems are considered in a standard situation when an unknown shift of the mean value of a random sequence X occurs (other changing characteristics of distributions are considered as nuisance parameters).

Keywords

Standard Wiener Process Functional Limit Theorem Stochastic Homogeneity Continuous Random Process Independent Standard Wiener Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media Dordrecht 1993

Authors and Affiliations

  • B. E. Brodsky
    • 1
  • B. S. Darkhovsky
    • 2
  1. 1.Open University RussiaMoscowRussia
  2. 2.Institute for Systems AnalysisRussian Academy of SciencesMoscowRussia

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