Activities
Student Organizations
Math Club
BingAWM
Actuarial Association
Statistics Seminar
Department of Mathematical Sciences
DATE: | Thursday, November 3, 2016 |
---|---|
TIME: | 1:15pm to 2:15pm |
LOCATION: | WH 100E |
SPEAKER: | Aleksey Polunchenko, Binghamton University |
TITLE: | Asymptotic Near-Minimaxity of the Shiryaev-Roberts-Pollak Change-Point Detection Procedure in Continuous Time |
Abstract
For the classical continuous-time quickest change-point detection problem it is shown that the (randomized) Shiryaev-Roberts-Pollak procedure is nearly minimax-optimal (with minimaxity understood in the sense introduced by Pollak in his seminal 1985 Annals paper) asymptotically as the false alarm risk goes to zero. The discrete-time analogue of this result was previously obtained by Pollak in 1985 in his Annals paper.