Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion

Taposh Banerjee, George V. Moustakides

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

The problem of detecting a change in the drift of a Brownian motion is considered. The change point is assumed to have a modified exponential prior distribution with unknown parameters. A worst-case analysis with respect to these parameters is adopted leading to a min–max problem formulation. Analytical and numerical justifications are provided toward establishing that the Shiryaev-Roberts procedure with a specially designed starting point is exactly optimal for the proposed mathematical setup.

Original languageEnglish (US)
Pages (from-to)355-369
Number of pages15
JournalSequential Analysis
Volume36
Issue number3
DOIs
StatePublished - Jul 3 2017
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modeling and Simulation

Keywords

  • Brownian motion
  • Shiryaev-Roberts procedure
  • drift change detection
  • minimax optimality
  • quickest change detection

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