Nonanticipating estimation applied to sequential analysis and changepoint detection
Nonanticipating estimation applied to sequential analysis and changepoint detection
Suppose a process yields independent observations whose distributions belong to a family parameterized by θ∈Θ. When the process is in control, the observations are i.i.d. with a known parameter value θ0. When the process is out of control, the parameter changes. We apply an idea of Robbins and Siegmund [Proc. …