The Annals of Statistics
- Ann. Statist.
- Volume 24, Number 4 (1996), 1804-1812.
A note on Ritov's Bayes approach to the minimax property of the cusum procedure
We consider, in a Bayesian framework, the model $W_t = B_t + \theta (t - \nu)^+$, where B is a standard Brownian motion, $\theta$ is arbitrary but known and $\nu$ is the unknown change-point. We transfer the construction of Ritov to this continuous time setup and show that the corresponding Bayes problems can be reduced to generalized parking problems.
Ann. Statist., Volume 24, Number 4 (1996), 1804-1812.
First available in Project Euclid: 17 September 2002
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Beibel, M. A note on Ritov's Bayes approach to the minimax property of the cusum procedure. Ann. Statist. 24 (1996), no. 4, 1804--1812. doi:10.1214/aos/1032298296. https://projecteuclid.org/euclid.aos/1032298296