Quickest detection of a state-dependent change-point in discrete time

Cai, L; Pan, LY; Zhang, HH; Gao, MZ; Wang, ZN

Cai, L (reprint author), Beijing Inst Technol, Sch Math & Stat, Beijing 100081, Peoples R China.

SEQUENTIAL ANALYSIS-DESIGN METHODS AND APPLICATIONS, 2017; 36 (4): 553

Abstract

We study the quickest detection of a change point in a sequence of observations whose prior probability depends on the observed states. By the Bayesia......

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