Monotonicity and robustness in Wiener disorder detection

2017/10/30 by Erik Ekström, Ekström, Erik, Juozas Vaicenavicius +1
Mathematics · #60G35 #FOS: Mathematics #Statistics Theory (math.ST) #math.ST #msc:60G35 #stat.TH

paper · pdf · doi:10.48550/arxiv.1710.10821

14 pages, improvements in presentation

arxiv created 2019/01/16 · arxiv updated 2019/01/17

Abstract

We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness properties -- effects of misspecification of the underlying model -- are explored.

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