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Minimax methods for multi-hypothesis sequential testing and CPD problems
by
Boris E. Brodsky
Central Institute for mathematics and Economics RAS, Moscow, Russia
Coauthors: Boris S. Darkhovsky (Institute for Systems Analysis RAS)
Minimax methods for sequential testing of multiple composite hypotheses and sequential change-point detection problems are proposed. These methods are asymptotically optimal in the sense of new performance criteria based upon a priori inequalities in sequential hypothesis testing and change-point detection problems. The proposed methods in sequential CPD problems are the minimax variants of well known CUSUM (cumulative sums) and GRSh (generalized Roberts-Shiryaev or Girshick-Rubin-Shiryaev) procedures. Results of a small simulation study of proposed methods are given.
Date received: February 19, 2007
Copyright © 2007 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # cauc-20.