A Posteriori Change-Point Problems

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


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).


Standard Wiener Process Functional Limit Theorem Stochastic Homogeneity Continuous Random Process Independent Standard Wiener Process 
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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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