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August 1996 A note on Ritov's Bayes approach to the minimax property of the cusum procedure
M. Beibel
Ann. Statist. 24(4): 1804-1812 (August 1996). DOI: 10.1214/aos/1032298296

Abstract

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.

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M. Beibel. "A note on Ritov's Bayes approach to the minimax property of the cusum procedure." Ann. Statist. 24 (4) 1804 - 1812, August 1996. https://doi.org/10.1214/aos/1032298296

Information

Published: August 1996
First available in Project Euclid: 17 September 2002

zbMATH: 0868.62063
MathSciNet: MR1416661
Digital Object Identifier: 10.1214/aos/1032298296

Subjects:
Primary: 62L10
Secondary: 62C10, 62L15

Rights: Copyright © 1996 Institute of Mathematical Statistics

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Vol.24 • No. 4 • August 1996
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