1. A precision of the sequential change point detection
- Author
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Ochman-Gozdek, A., Sarnowski, W., and Szajowski, K. J.
- Subjects
Mathematics - Statistics Theory ,Mathematics - Probability ,Statistics - Applications ,60G40, Secondary: 60K99, 90D60 - Abstract
A random sequence having two segments being the homogeneous Markov processes is registered. Each segment has his own transition probability law and the length of the segment is unknown and random. The transition probabilities of each process are known and a priori distribution of the disorder moment is given. The decision maker aim is to detect the moment of the transition probabilities change. The detection of the disorder rarely is precise. The decision maker accepts some deviation in estimation of the disorder moment. In the considered model the aim is to indicate the change point with fixed, bounded error with maximal probability. The case with various precision for over and under estimation of this point is analysed. The case when the disorder does not appears with positive probability is also included. The results insignificantly extends range of application, explain the structure of optimal detector in various circumstances and shows new details of the solution construction. The motivation for this investigation is the modelling of the attacks in the node of networks. The objectives is to detect one of the attack immediately or in very short time before or after it appearance with highest probability. The problem is reformulated to optimal stopping of the observed sequences. The detailed analysis of the problem is presented to show the form of optimal decision function., Comment: 8 pages. The research has been supported by grant S30103/I-18. This paper was presented in part at 59th ISI World Statistics Congress 25-30 August 2013, Hong Kong Special Administrative Region, China in the session CPS018
- Published
- 2014
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