Sequential Analysis : Hypothesis Testing and Changepoint Detection

Tartakovsky, Alexander; Nikiforov, Igor; Basseville, Michele

ISBN 10: 1439838208 / ISBN 13: 9781439838204

Editore: Chapman and Hall/CRC, 2014

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Dati bibliografici

• Titolo: Sequential Analysis : Hypothesis Testing and Changepoint Detection
• Editore: Chapman and Hall/CRC
• Data di pubblicazione: 2014
• Lingua: Inglese
• ISBN 10: 1439838208
• ISBN 13: 9781439838204
• Rilegatura: Rilegato
• Condizione: As New

Descrizione articolo

Riassunto

Sequential Analysis: Hypothesis Testing and Changepoint Detection systematically develops the theory of sequential hypothesis testing and quickest changepoint detection. It also describes important applications in which theoretical results can be used efficiently.

The book reviews recent accomplishments in hypothesis testing and changepoint detection both in decision-theoretic (Bayesian) and non-decision-theoretic (non-Bayesian) contexts. The authors not only emphasize traditional binary hypotheses but also substantially more difficult multiple decision problems. They address scenarios with simple hypotheses and more realistic cases of two and finitely many composite hypotheses. The book primarily focuses on practical discrete-time models, with certain continuous-time models also examined when general results can be obtained very similarly in both cases. It treats both conventional i.i.d. and general non-i.i.d. stochastic models in detail, including Markov, hidden Markov, state-space, regression, and autoregression models. Rigorous proofs are given for the most important results.

Written by leading authorities in the field, this book covers the theoretical developments and applications of sequential hypothesis testing and sequential quickest changepoint detection in a wide range of engineering and environmental domains. It explains how the theoretical aspects influence the hypothesis testing and changepoint detection problems as well as the design of algorithms.

Informazioni sull?autore

Alexander Tartakovsky, Igor Nikiforov, Michele Basseville