G. Yu. Sofronov, “Asymptotically <nobr>$d$</nobr>-Optimal Test of a Change-Point Detection”, Teor. Veroyatnost. i Primenen., 2001, Volume 46, Issue 3,Pages <nobr>571

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Short Communications

Asymptotically $d$-Optimal Test of a Change-Point Detection

G. Yu. Sofronov

Mari State University

Abstract: The paper considers the problem of a change-point detection for a sequence of random variables. We construct a $d$-optimal test guaranteeing the $d$-risk. The asymptotics of this test is obtained.

Keywords: change-point detection, $d$-a posteriori approach, $d$-warranty, $d$-optimality, weak convergence, functionals of the Wiener process.

Received: 20.02.2001

DOI: 10.4213/tvp3904