Title :
Second order asymptotic optimality of sequential design and change-point detection
Author :
Malyutov, Mikhail B. ; Tsitovich, Ivan I.
Author_Institution :
Dept. of Math., Northeastern Univ., Boston, MA, USA
Abstract :
Asymptotic bounds are derived involving a second additive term of order √(|lnα|) as α→0 for the mean length of a controlled sequential discrimination strategy s between two statistical models in a general non-parametric setting. The parameter α is the maximal error probability of s. These results are applied to change-point detection
Keywords :
error statistics; nonparametric statistics; optimisation; signal detection; asymptotic bounds; change-point detection; controlled sequential discrimination; general nonparametric detection; maximal error probability; mean length; second order asymptotic optimality; sequential design; statistical models; Error probability; Extraterrestrial measurements; H infinity control; Mathematical model; Mathematics; Optimal control; Testing;
Conference_Titel :
Information Theory, 2000. Proceedings. IEEE International Symposium on
Conference_Location :
Sorrento
Print_ISBN :
0-7803-5857-0
DOI :
10.1109/ISIT.2000.866684
