Browsing by Author "Hadjiliadis, O."
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Optimal and asymptotically optimal cusum rules for change point detection in the Brownian motion model with multiple alternatives
Hadjiliadis, O.; Moustakides, V. (2006)This work examines the problem of sequential change detection in the constant drift of a Brownian motion in the case of multiple alternatives. As a performance measure an extended Lorden's criterion is proposed. When the ...