2016/10/09 by Taposh Banerjee, Banerjee, Taposh, George V. Moustakides +1
Decision Sciences · Economics, Econometrics and Finance · #Advanced Statistical Process Monitoring #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1610.02680
The problem of detecting a change in the drift of a Brownian motion is\nconsidered. The change point is assumed to have a modified exponential prior\ndistribution with unknown parameters. A worst-case analysis with respect to\nthese parameters is adopted leading to a min-max problem formulation.\nAnalytical and numerical justifications are provided towards establishing that\nthe Shiryaev-Roberts procedure with a specially designed starting point is\nexactly optimal for the proposed mathematical setup.\n