Detection of a “Disorder” in a Wiener Process

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Previous article Next article Detection of a "Disorder" in a Wiener ProcessL. Yu. VostrikovaL. Yu. Vostrikovahttps://doi.org/10.1137/1126034PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] A. N. Shiryaev, On optimal methods in quickest detection problems, Theory Prob. Appl., 8 (1963), 22–46 LinkGoogle Scholar[2] I. A. Ibragimov and , R. Z. Khas'minskii, The Asymptotic Theory of Estimation, Nauka, Moscow, 1979, (In Russian.) Google Scholar[3] R. Sh. Liptser and , A. N. Shiryayev, Statistics of random processes, Springer-Verlag, New York-Heidelberg, 1977 CrossrefGoogle Scholar[4] G. Korn and , T. Korn, Mathematical Handbook, McGraw-Hill, New York, 1961 Google Scholar[5] A. A. Novikov, On stopping times of semistable diffusion processesProbability theory (Papers, VIIth Semester, Stefan Banach Internat. Math. Center, Warsaw, 1976), Banach Center Publ., Vol. 5, PWN, Warsaw, 1979, 203–209, [In Russian.] 81j:60056 Google Scholar[6] I. S. Gradshtein and , I. M. Ryzhik, Tables of Integrals, Series and Products, Academic Press, New York, 1965 Google Scholar[7] M. Abramowitz and , I. A. Stegun, Handbook of Mathematical Functions, Dover, New York, 1964 Google Scholar[8] John P. Dirkse, An absorption probability for the Ornstein-Uhlenbeck process, J. Appl. Probability, 12 (1975), 595–599 52:6895 0332.60056 CrossrefGoogle Scholar[9] I. I. Gikhman and , A. V. Skorokhod, The Theory of Stochastic Processes, Vol. II, Springer-Verlag, New York-Heidelberg, 1975 CrossrefGoogle Scholar Previous article Next article FiguresRelatedReferencesCited byDetails Joint Detection of Change Points in Multichannel Single-Molecule Measurements6 December 2021 | The Journal of Physical Chemistry B, Vol. 125, No. 49 Cross Ref Structural change detection in ordinal time series16 August 2021 | PLOS ONE, Vol. 16, No. 8 Cross Ref Change-point detection of failure mechanism for electronic devices based on Arrhenius modelApplied Mathematical Modelling, Vol. 83 Cross Ref Editor's special invited paper: On the efficient score vector in sequential monitoring22 January 2018 | Sequential Analysis, Vol. 36, No. 4 Cross Ref Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industryEconomic Modelling, Vol. 58 Cross Ref Flexible risk-adjusted surveillance procedures for autocorrelated binary series30 July 2015 | Canadian Journal of Statistics, Vol. 43, No. 3 Cross Ref Efficient Score Statistic in Drug and Vaccine Safety Surveillance4 February 2015 | Sequential Analysis, Vol. 34, No. 1 Cross Ref A Darling–Erdős-type CUSUM-procedure for functional data21 March 2014 | Metrika, Vol. 78, No. 1 Cross Ref Structural breaks in time series14 September 2012 | Journal of Time Series Analysis, Vol. 34, No. 1 Cross Ref Monitoring binary outcomes using risk-adjusted charts: a comparative study22 July 2011 | Statistics in Medicine, Vol. 30, No. 23 Cross Ref Changepoints in the North Atlantic Tropical Cyclone RecordJournal of the American Statistical Association, Vol. 106, No. 493 Cross Ref Change-Point Problems: Bibliography and ReviewJournal of Statistical Theory and Practice, Vol. 4, No. 4 Cross Ref Nonparametric sequential monitoring of longitudinal trials4 August 2010 | Statistics in Medicine, Vol. 29, No. 24 Cross Ref Sequential confidence intervals for time series1 October 2010 | Periodica Mathematica Hungarica, Vol. 61, No. 1-2 Cross Ref Quantitative Analysis of DNA-Looping Kinetics from Tethered Particle Motion Experiments Cross Ref Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series20 August 2009 | Communications in Statistics - Theory and Methods, Vol. 38, No. 16-17 Cross Ref Discussion on "A Hybrid Selection and Testing Procedure with Curtailment for Comparative Clinical Trials" by Elena M. 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E. Brodskii and B. S. Darkhovskii17 July 2006 | Theory of Probability & Its Applications, Vol. 35, No. 3AbstractPDF (593 KB)A Limit Theorem for a Maximum-Likelihood Estimate of the Disorder TimeTs. G. Khakhubia1 August 2006 | Theory of Probability & Its Applications, Vol. 31, No. 1AbstractPDF (440 KB) Volume 26, Issue 2| 1982Theory of Probability & Its Applications History Submitted:22 April 1980Published online:17 July 2006 InformationCopyright © Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1126034Article page range:pp. 356-362ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics

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