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Brodsky, Boris; Darkhovsky, Boris

Minimax methods for multihypothesis sequential testing and change-point detection problems. (English) Zbl 1274.62512

Sequential Anal. 27, No. 2, 141-173 (2008).
Summary: A unified methodological approach to sequential testing of many composite hypotheses and multi-decision change-point detection for composite alternatives is proposed. New performance measures for methods of hypotheses testing and change-point detection are introduced. Theoretical lower bounds for these performance measures are proved that do not depend on methods of sequential testing and detection. Minimax tests are proposed for which these lower bounds are attained asympototically as decision thresholds tend to infinity. Results of Monte Carlo experiments are given.

Cited in 51 Documents

MSC:

62L10 Sequential statistical analysis
62L15 Optimal stopping in statistics
62L99 Sequential statistical methods

Keywords:

asymptotically optimal tests; change-point problems; composite hypotheses testing; sequential analysis
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\textit{B. Brodsky} and \textit{B. Darkhovsky}, Sequential Anal. 27, No. 2, 141--173 (2008; Zbl 1274.62512)
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